Key points are not available for this paper at this time.
We consider a hedger with a mean-variance objective who faces a random loss at a fixed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem by introducing the intrinsic value process of a contingent claim.
Martin Schweizer (1992) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: