Sampled control for mean-variance hedging in a jump diffusion financial market

dc.contributorFGV
dc.creatorCosta, O. L. V.
dc.creatorMaiali, Andre Cury
dc.creatorPinto, Afonso de Campos
dc.date.accessioned2018-05-10T13:36:34Z
dc.date.accessioned2022-11-03T20:13:23Z
dc.date.available2018-05-10T13:36:34Z
dc.date.available2022-11-03T20:13:23Z
dc.date.created2018-05-10T13:36:34Z
dc.date.issued2009
dc.identifier978-1-4244-3872-3
dc.identifier0001-0782 / 1557-7317
dc.identifierhttp://hdl.handle.net/10438/23395
dc.identifier10.1109/CDC.2009.5400676
dc.identifier000336893604025
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5034022
dc.description.abstractIn this paper 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 self-financing mean-variance hedging strategy problem 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
dc.relationProceedings of the 48th ieee conference on decision and control, 2009 held jointly with the 2009 28th chinese control conference (cdc/ccc 2009)
dc.rightsrestrictedAccess
dc.sourceWeb of Science
dc.subjectPortfolio selection
dc.subjectDiscrete-time
dc.subjectMean-variance
dc.subjectOptimal control
dc.subjectOptions pricing
dc.titleSampled control for mean-variance hedging in a jump diffusion financial market
dc.typeConference Proceedings


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