Mean-Variance Hedging Based on an Incomplete Market with External Risk Factors of Non-Gaussian OU Processes
We prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semiexplicitly) constructed for an incomplete financial market with external risk factors of non-Gaussian Ornstein-Uhlenbeck (NGOU) processes. Analytical and numerical examples are both pr...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2015-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2015/625289 |