Local risk-minimization under the benchmark approach
- Publication Type:
- Journal Article
- Mathematics and Financial Economics, 2014, 8 (2), pp. 109 - 134
- Issue Date:
Files in This Item:
|Local risk-minimization under the benchmark approach.pdf||379.49 kB|
Copyright Clearance Process
- Recently Added
- In Progress
- Open Access
This item is open access.
© 2014, Springer-Verlag Berlin Heidelberg. We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world than the classical methodology.
Please use this identifier to cite or link to this item: