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Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Pricing European Options Non-continuous Trading
2010/10/20
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Mean-Variance Hedging Pricing European Options Non-continuous Trading
2010/4/28
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Robust mean-variance hedging in the single period model
The min-max problem mean-variance hedging maximum principle robust optimization
2010/11/2
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.