We study a hedging problem for an European contingent claim in a certain incomplete market model by using a homogeneous filtered value measure. We consider the minimal hedging risk in discrete time model and its continuous limit. As a result, we show that this limit is described by the unique viscosity solution of a kind of Hamilton-Jacobi-Bellman equation.
雑誌名
Journal of mathematical sciences, the University of Tokyo
巻
17
号
4
ページ
359 - 386
発行年
2011-03-29
ISSN
13405705
書誌レコードID
AA11021653
日本十進分類法
415
Mathematical Reviews Number
MR
Mathmatical Subject Classification
91B30(MSC2010)
60F99(MSC2010)
91B24(MSC2010)
出版者
Graduate School of Mathematical Sciences, The University of Tokyo
原稿受領日
2010-03-02
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A Limit Theorem on Maximum Value of Hedging with a Homogeneous Filtered Value Measure
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