Mean-variance hedging and numéraire

Mathematical Finance

Volumn 8, Issue 3, 1998, Pages 179-200

  Gourieroux, Christian ^b   Laurent, Jean Paul ^b   Pham, Huyên ^a  

^a UNIVERSITÉ GUSTAVE EIFFEL   (France)

^b NONE

Author keywords

Artificial extension; Duality relation; Hedging; Incomplete markets; Num raire; Optimization; Variance optimal martingale measure

Indexed keywords

EID: 0032114522     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00052     Document Type: Article

References (27)

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