Quadratic hedging for sequential claims with random weights in discrete time

@article{Deng2021QuadraticHF,
  title={Quadratic hedging for sequential claims with random weights in discrete time},
  author={Jun Deng and Bin Zou},
  journal={Oper. Res. Lett.},
  year={2021},
  volume={49},
  pages={218-225}
}
  • Jun Deng, Bin Zou
  • Published 2021
  • Computer Science, Economics, Mathematics
  • Oper. Res. Lett.
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the explicit optimal hedging strategy in a recursive representation, without imposing the nondegeneracy condition on the model and square integrability on hedging strategies. We relate the results to hedging under random horizon and fair pricing in the quadratic sense. 

References

SHOWING 1-10 OF 29 REFERENCES
Optimal Static Quadratic Hedging
TLDR
A model-free expression is derived for the optimal static hedging strategy that minimizes the expected squared hedging error subject to a cost constraint. Expand
Variance-Optimal Hedging in Discrete Time
  • M. Schweizer
  • Mathematics, Computer Science
  • Math. Oper. Res.
  • 1995
We solve the problem of approximating in (L-script) 2 a given random variable H by stochastic integrals G T ((theta)) of a given discrete-time process X . We interpret H as a contingent claim to beExpand
A guided tour through quadratic hedging approaches
This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approachExpand
On Quadratic Cost Criteria for Option Hedging
  • M. Schäl
  • Mathematics, Computer Science
  • Math. Oper. Res.
  • 1994
TLDR
Sufficient conditions on the underlying stochastic process in discrete time are provided such that the fair hedging price does not depend on the choice of i, ii, or iii, which fact should increase its acceptability. Expand
On the Structure of General Mean-Variance Hedging Strategies
We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure $P^{\star}$ which turns theExpand
Mean-Variance Hedging for General Claims
0. Introduction. In this paper, we solve the continuous-time hedging problem with a mean-variance objective for general contingent claims. A special case of this problem was treated by Duffie andExpand
Hedging by Sequential Regressions Revisited
Almost 20 years ago Foellmer and Schweizer (1989) suggested a simple and influential scheme for the computation of hedging strategies in an incomplete market. Their approach of local riskExpand
On the Mean-Variance Hedging Problem
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, andExpand
Mean–Variance Hedging
Suppose discounted asset prices in a financial market are given by a P-semimartingale S. Mean–variance hedging is the problem of approximating, with minimal mean-squared error, a given payoff by theExpand
Guaranteed Minimum Withdrawal Benefit in Variable Annuities
We develop a singular stochastic control model for pricing variable annuities with the guaranteed minimum withdrawal benefit. This benefit promises to return the entire initial investment, withExpand
...
1
2
3
...