Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims
Résumé
In this note, I study further a new approach recently introduced for the hedging of derivatives in incomplete markets via non quadratic local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.
Origine | Fichiers produits par l'(les) auteur(s) |
---|
Loading...