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February 1, 1992The Annals of Applied Probability260 citationsOpen Access

Mean-Variance Hedging for General Claims

MSMartin Schweizer

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Abstract

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.

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Martin Schweizer (1992) studied this question.

synapsesocial.com/papers/6a1817f5cf49e78c48b4cbbehttps://doi.org/10.1214/aoap/1177005776
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