IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v133y2001i3p635-652.html
   My bibliography  Save this article

Claim pricing and hedging under market incompleteness and "mean-variance" preferences

Author

Listed:
  • Mercurio, Fabio

Abstract

No abstract is available for this item.

Suggested Citation

  • Mercurio, Fabio, 2001. "Claim pricing and hedging under market incompleteness and "mean-variance" preferences," European Journal of Operational Research, Elsevier, vol. 133(3), pages 635-652, September.
    • Handle: RePEc:eee:ejores:v:133:y:2001:i:3:p:635-652
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(00)00211-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Martin Schweizer, 1995. "Variance-Optimal Hedging in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 1-32, February.
    2. Fabio Mercurio & Ton Vorst, 1996. "Option pricing with hedging at fixed trading dates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 135-158.
    3. (*), Thaleia Zariphopoulou & George M. Constantinides, 1999. "Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences," Finance and Stochastics, Springer, vol. 3(3), pages 345-369.
    4. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    5. Martin Schweizer, 1994. "Risk‐Minimizing Hedging Strategies Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 327-342, October.
    6. Bouleau, Nicolas & Lamberton, Damien, 1989. "Residual risks and hedging strategies in Markovian markets," Stochastic Processes and their Applications, Elsevier, vol. 33(1), pages 131-150, October.
    7. Schweizer, Martin, 1991. "Option hedging for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 339-363, April.
    8. Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder, 1998. "Mean-variance hedging for continuous processes: New proofs and examples," Finance and Stochastics, Springer, vol. 2(2), pages 173-198.
    9. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    10. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    11. Ho, Thomas S Y & Stoll, Hans R, 1983. "The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-1074, September.
    12. Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
    13. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    14. Emmanuel Nicholas Barron & Robert Jensen, 1990. "A Stochastic Control Approach to the Pricing of Options," Mathematics of Operations Research, INFORMS, vol. 15(1), pages 49-79, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
    2. Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2021. "Indifference pricing of insurance-linked securities in a multi-period model," European Journal of Operational Research, Elsevier, vol. 289(2), pages 793-805.
    3. Sun, Wan Gui & Wang, Chun Feng, 2006. "The mean-variance investment problem in a constrained financial market," Journal of Mathematical Economics, Elsevier, vol. 42(7-8), pages 885-895, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:dau:papers:123456789/5374 is not listed on IDEAS
    2. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2013, January-A.
    3. Damiano Brigo & Fabio Mercurio, 2008. "Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing," Papers 0812.4010, arXiv.org.
    4. Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
    5. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2, July-Dece.
    6. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    7. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    8. Chong, Wing Fung, 2019. "Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 93-107.
    9. Sai Hung Marten Ting & Christian-Oliver Ewald, 2013. "On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 939-954, May.
    10. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
    11. Coleman, Thomas F. & Levchenkov, Dmitriy & Li, Yuying, 2007. "Discrete hedging of American-type options using local risk minimization," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3398-3419, November.
    12. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
    13. Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
    14. Oleg Szehr, 2021. "Hedging of Financial Derivative Contracts via Monte Carlo Tree Search," Papers 2102.06274, arXiv.org, revised Apr 2021.
    15. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    16. Patrice Gaillardetz & Saeb Hachem, 2019. "Risk-Control Strategies," Papers 1908.02228, arXiv.org.
    17. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
    18. Chatterjee, Somnath & Jobst, Andreas, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.
    19. Wei Yan, 2017. "Closed-Form Optimal Strategies of Continuous-Time Options with Stochastic Differential Equations," Complexity, Hindawi, vol. 2017, pages 1-11, July.
    20. Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2020. "Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures," Papers 2002.02876, arXiv.org, revised Sep 2020.
    21. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:133:y:2001:i:3:p:635-652. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.