SFB 303 Discussion Paper No. B-167

Author: Schweizer, Martin
Title: Mean-Variance Hedging for General Claims
Abstract: We consider a hedger with a mean-variance objective who faces a random loss at a fixed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem by introducing the intrinsic value process of a contingent claim.
Creation-Date: October 1990
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