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• W2135200315 abstract "In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form expressions for the optimal hedging policy are obtained using methods from stochastic control and the theory of backward stochastic differential equations. The results we have obtained show how backward stochastic differential equations can be used to obtain solutions to optimal investment and hedging problems when discontinuities in the underlying price processes are modeled by the arrivals of Poisson processes with stochastic intensities. Applications to the problem of hedging default risk are also discussed." @default.
• W2135200315 created "2016-06-24" @default.
• W2135200315 creator A5040810296 @default.
• W2135200315 date "2005-01-01" @default.
• W2135200315 modified "2023-10-11" @default.
• W2135200315 title "Mean-Variance Hedging When There Are Jumps" @default.
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• W2135200315 doi "https://doi.org/10.1137/040610933" @default.
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