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On quadratic hedging in continuous time |
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| Authors: | Huyên Pham |
| Institution: | (1) Laboratoire de Probabilités et Modèles Aléatoires, UMR 7599, Université Paris 7, 2 Place Jussieu, 75251 Paris Cedex 05, France (e-mail: pham@gauss.math.jussieu.fr), FR;(2) CREST, Laboratoire de Finance-Assurance, 15 Blvd Gabrie'l Péri, 92245 Malakoff Cedex., XX |
| Abstract: | |
| Keywords: | : Incomplete market quadratic hedging optimization semimartingales stochastic integrals Kunita-Watanabe projection L2-projection minimal martingale measure variance-optimal martingale measure |
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