Mean-variance hedging with uncertain trade execution

研究成果: Contribution to journalArticle査読

2 被引用数 (Scopus)

抄録

This paper studies a hedging problem of a contingent claim in a discrete time model. The contingent claim is hedged by one illiquid risky asset and the hedging error is measured by a quadratic criterion. In our model, trade does not always succeed and then trade times are not only discrete, but also random. The uncertainty of trade execution represents the liquidity risk. First we find an optimal hedging strategy with fixed initial condition. Next we consider an optimal initial condition. Finally, we study a binomial model as a simple example.

本文言語英語
ページ(範囲)219-252
ページ数34
ジャーナルApplied Mathematical Finance
16
3
DOI
出版ステータス出版済み - 2009

All Science Journal Classification (ASJC) codes

  • Finance
  • Applied Mathematics

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