Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2013

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.
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Dates et versions

hal-00771528 , version 1 (08-01-2013)

Identifiants

  • HAL Id : hal-00771528 , version 1

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Frédéric Abergel. Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims. 2013. ⟨hal-00771528⟩
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