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On mean-variance hedging under partial observations and terminal wealth constraints. (arXiv:1704.06550v1 [q-fin.MF])
来源于:arXiv
In the paper, a mean-square minimization problem under terminal wealth
constraint with partial observations is studied. The problem is naturally
connected to the mean-variance hedging problem under incomplete information. A
new approach to solving this problem is proposed. The paper provides a solution
when the underlying pricing process is a square-integrable semimartingale. The
proposed method for the study is based on the martingale representation. In
special cases, the Clark-Ocone representation can be used to obtain explicit
solutions. The results and the method are illustrated and supported by example
with two correlated geometric Brownian motions. 查看全文>>