Quadratic hedging for sequential claims with random weights in discrete time

  title={Quadratic hedging for sequential claims with random weights in discrete time},
  author={Jun Deng and Bin Zou},
  journal={Oper. Res. Lett.},
  • 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. 


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