Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

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

Abstract : 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.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [24 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00708597
Contributor : Thomas Lim <>
Submitted on : Wednesday, July 24, 2013 - 9:22:15 AM
Last modification on : Thursday, December 10, 2020 - 11:09:03 AM
Long-term archiving on: : Friday, October 25, 2013 - 4:09:58 AM

Files

KLN13.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00708597, version 2
  • ARXIV : 1206.3693

Citation

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

Share

Metrics

Record views

376

Files downloads

522