Explicit representation of the minimal variance portfolio in markets driven by Lévy processes

Mathematical Finance

Volumn 13, Issue 1, 2003, Pages 55-72

  Benth, Fred Espen ^a   Di Nunno, Giulla ^a,b   Løkka, Arne ^a   Øksendal, Bernt ^a   Proske, Frank ^a  

^a UNIVERSITY OF OSLO   (Norway)

^b UNIVERSITY OF PAVIA   (Italy)

Author keywords

Chaos expansions; Clark Haussmann Ocone theorem; Incomplete markets; L vy processes; Minimal variance hedging; Stochastic derivatives

Indexed keywords

EID: 0141902106     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.t01-1-00005     Document Type: Conference Paper

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