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- W3124024260 abstract "In this paper, we prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semi-explicitly) constructed for an incomplete financial market with external risk factors of non-Gaussian Ornstein-Uhlenbeck (NGOU) processes. Analytical and numerical examples are both presented to illustrate the effectiveness of our optimal strategy. Our study establishes the connection between our financial system and existing general semimartingale based discussions by justifying required conditions. More precisely, there are three steps involved. First, we firmly prove the no-arbitrage condition to be true for our financial market, which is used as an assumption in existing discussions. In doing so, we explicitly construct the square-integrable density process of the variance-optimal martingale measure (VOMM). Second, we derive a backward stochastic differential equation (BSDE) with jumps for the mean-value process of a given contingent claim. The unique existence of adapted strong solution to the BSDE is proved under suitable terminal conditions including both European call and put options as special cases. Third, by combining the solution of the BSDE and the VOMM, we reach the justification of the global risk optimality for our hedging strategy." @default.
- W3124024260 created "2021-02-01" @default.
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- W3124024260 date "2014-10-03" @default.
- W3124024260 modified "2023-09-27" @default.
- W3124024260 title "Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes" @default.
- W3124024260 doi "https://doi.org/10.48550/arxiv.1410.0991" @default.
- W3124024260 hasPublicationYear "2014" @default.
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