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Mean-Variance Hedging on uncertain time horizon in a market with a jump

dc.contributor.authorNgoupeyou, Armand
dc.contributor.authorLim, Thomas
dc.contributor.authorKharroubi, Idris
dc.date.accessioned2012-07-05T09:16:33Z
dc.date.available2012-07-05T09:16:33Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9697
dc.language.isoenen
dc.subjectdecomposition in the reference ltrationen
dc.subjectprogressive enlargement of ltrationen
dc.subjectjump processesen
dc.subjectrandom horizonen
dc.subjectBackward SDEen
dc.subjectMean-variance hedgingen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.titleMean-Variance Hedging on uncertain time horizon in a market with a jumpen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire de Probabilités et Modèles Aléatoires (LPMA) http://www.proba.jussieu.fr/ CNRS : UMR7599 – Université Paris VI - Pierre et Marie Curie – Université Paris VII - Paris Diderot;France
dc.contributor.editoruniversityotherEcole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE) http://www.ensiie.fr/;France
dc.contributor.editoruniversityotherLaboratoire d'analyse et probabilités http://www.univ-evry.fr/fr/recherche/les_laboratoires/analyse_et_probabilites.html Université d'Evry-Val d'Essonne : EA2172;France
dc.description.abstractenIn this work, we study the problem of mean-variance hedging with a random horizon T ^ tau , where T is a deterministic constant and is a jump time of the underlying asset price process. We rst formulate this problem as a stochastic control problem and relate it to a system of BSDEs with jumps. We then provide a veri cation theorem which gives the optimal strategy for the mean-variance hedging using the solution of the previous system of BSDEs. Finally, we prove that this system of BSDEs admits a solution via a decomposition approach coming from ltration enlargement theory.en
dc.relation.isversionofjnlnameApplied Mathematics and Optimization
dc.relation.isversionofjnlvol68
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages413-444
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00245-013-9213-5
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00708597en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie financièreen


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