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Locally risk-minimizing hedging strategies for general payment process. (English) Zbl 1010.60062

The paper deals with determining locally risk-minimizing hedging strategies when the hedger’s liabilities are described by a general payoff stream. Existence and uniqueness are proved under the semimartingale assumption for the price of the risky process.

MSC:

60H30 Applications of stochastic analysis (to PDEs, etc.)
91B28 Finance etc. (MSC2000)
60G44 Martingales with continuous parameter
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