Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

dc.creatorCosta, Oswaldo Luiz do Valle
dc.creatorMAIALI, A. C.
dc.creatorPINTO, Afonso de C.
dc.date.accessioned2012-10-19T01:46:46Z
dc.date.accessioned2018-07-04T14:51:47Z
dc.date.available2012-10-19T01:46:46Z
dc.date.available2018-07-04T14:51:47Z
dc.date.created2012-10-19T01:46:46Z
dc.date.issued2010
dc.identifierIEEE TRANSACTIONS ON AUTOMATIC CONTROL, v.55, n.7, p.1704-1709, 2010
dc.identifier0018-9286
dc.identifierhttp://producao.usp.br/handle/BDPI/18687
dc.identifier10.1109/TAC.2010.2046923
dc.identifierhttp://dx.doi.org/10.1109/TAC.2010.2046923
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1615479
dc.description.abstractIn this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.
dc.languageeng
dc.publisherIEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
dc.relationIeee Transactions on Automatic Control
dc.rightsCopyright IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
dc.rightsrestrictedAccess
dc.subjectDiscrete-time
dc.subjectmean-variance hedging
dc.subjectoptimal control
dc.subjectoptions pricing
dc.titleSampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
dc.typeArtículos de revistas


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