Mean-Variance Hedging for General Claims in an Incomplete Market: Numeraire Method

作     者：王桂兰 叶中行 

作者机构：Dept. of Mathematics Shanghai Jiaotong Univ. Shanghai 200030 China 

出 版 物：《Journal of Shanghai Jiaotong university(Science)》 (上海交通大学学报（英文版）)

年 卷 期：2003年第8卷第2期

页      面：175-178页

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：National Natural Science Foundation ofChina( 10 1710 66) and Shanghai Key Project( 0 2 DJ14 0 63 ) 

主　　题：Mean-variance hedging incomplete market numeraire European options 

摘      要：This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-variance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.