Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
This paper is concerned with a mean-variance hedging problem with partial information, where the initial endowment of an agent may be a decision and the contingent claim is a random variable. This problem is explicitly solved by studying a linear-quadratic optimal control problem with non-Marko...
Main Authors: | Guangchen Wang, Zhen Wu |
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Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2011-01-01
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Series: | Abstract and Applied Analysis |
Online Access: | http://dx.doi.org/10.1155/2011/310910 |
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