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Teoriya Veroyatnostei i ee Primeneniya, 1998, Volume 43, Issue 4, Pages 672–691
DOI: https://doi.org/10.4213/tvp2015 (Mi tvp2015) 		 
This article is cited in 19 scientific papers (total in 19 papers)

On the mean-variance hedging problem

A. V. Melnikov, M. L. Nechaev

Steklov Mathematical Institute, Russian Academy of Sciences
Full-text PDF (2104 kB) Citations (19)
DOI: https://doi.org/10.4213/tvp2015
Abstract: This paper proposes a new approach to the problem of the “optimal” control assets on an incomplete market. The approach develops the known mean-variance hedging method of Folmer, Sonderman, and Schweizer. Some technical assumptions on the approximating sequence such as the nondegeneracy condition and its elements belonging to the space $\mathscr{L}_2$ are excluded. We give examples and an interpretation of obtained results which connect them with such key financial-market notions as completeness and arbitrage.
Keywords: mean-variance hedging, investment, arbitrage, martingale measure, option.
Received: 05.05.1997
English version:
Theory of Probability and its Applications, 1999, Volume 43, Issue 4, Pages 588–603
DOI: https://doi.org/10.1137/S0040585X97977136
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Melnikov, M. L. Nechaev, “On the mean-variance hedging problem”, Teor. Veroyatnost. i Primenen., 43:4 (1998), 672–691; Theory Probab. Appl., 43:4 (1999), 588–603
Citation in format AMSBIB
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\transl
\jour Theory Probab. Appl.
\yr 1999
\vol 43
\issue 4
\pages 588--603
\crossref{https://doi.org/10.1137/S0040585X97977136}
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    • This publication is cited in the following 19 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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