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
Unfortunately this paper is not available online. Please contact us to order a hardcopy.
SFB 303 Homepage
17.02.1998, © Webmaster