Local risk-minimization under the benchmark approach

Publication Type:
Journal Article
Mathematics and Financial Economics, 2014, 8 (2), pp. 109 - 134
Issue Date:
Full metadata record
© 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: