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 the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to $P^{\star}$ coincides with the variance-optimal martingale measure relative to the original probability measure $P$.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Deep Quadratic Hedging
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic appro…
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose asset price process is given by the expo…
Hedging in L\'evy Models and the Time Step Equivalent of Jumps
We consider option hedging in a model where the underlying follows an exponential L\'evy process. We derive approximations to the variance-optimal and to some suboptimal strategies as well as to their mean squared hedgin…
Construction and Hedging of Equity Index Options Portfolios
This research presents a comprehensive evaluation of systematic index option-writing strategies, focusing on S&P500 index options. We compare the performance of hedging strategies using the Black-Scholes-Merton (BSM) mod…
On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models
We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give…