Local risk-minimization under the benchmark approach

Biagini, F; Cretarola, A; Platen, E

Local risk-minimization under the benchmark approach

Biagini, F Cretarola, A Platen, E

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Publication Type:: Journal Article
Citation:: Mathematics and Financial Economics, 2014, 8 (2), pp. 109 - 134
Issue Date:: 2014-03-01

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Field	Value	Language
dc.contributor.author	Biagini, F	en_US
dc.contributor.author	Cretarola, A	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2014-03-01	en_US
dc.identifier.citation	Mathematics and Financial Economics, 2014, 8 (2), pp. 109 - 134	en_US
dc.identifier.issn	1862-9679	en_US
dc.identifier.uri	http://hdl.handle.net/10453/36419
dc.description.abstract	© 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.	en_US
dc.relation.ispartof	Mathematics and Financial Economics	en_US
dc.relation.isbasedon	10.1007/s11579-014-0115-3	en_US
dc.title	Local risk-minimization under the benchmark approach	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	8	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	8	en_US

Abstract:

© 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.

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http://hdl.handle.net/10453/36419