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Pré-Publication, Document De Travail Année : 2012

Mean-Variance Hedging on uncertain time horizon in a market with a jump

Résumé

In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau , where T is a deterministic constant and is a jump time of the underlying asset price process. We rst formulate this problem as a stochastic control problem and relate it to a system of BSDEs with jumps. We then provide a veri cation theorem which gives the optimal strategy for the mean-variance hedging using the solution of the previous system of BSDEs. Finally, we prove that this system of BSDEs admits a solution via a decomposition approach coming from ltration enlargement theory.
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Dates et versions

hal-00708597 , version 1 (15-06-2012)
hal-00708597 , version 2 (24-07-2013)

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Idris Kharroubi, Thomas Lim, Armand Ngoupeyou. Mean-Variance Hedging on uncertain time horizon in a market with a jump. 2012. ⟨hal-00708597v2⟩
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