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.
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Pré-publication, Document de travail
2012
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https://hal.archives-ouvertes.fr/hal-00708597
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Dernière modification le : jeudi 27 avril 2017 - 09:46:31
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  • HAL Id : hal-00708597, version 2
  • ARXIV : 1206.3693

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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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