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Mean-Variance Hedging for General Claims

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References

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1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
1994Approximating Random Variables by Stochastic Integrals179 cited
2004Option Pricing: Valuation Models and Applications164 cited

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1994On Quadratic Cost Criteria for Option Hedging164 cited

1997Non-linear pricing theory and backward stochastic differential equations150 cited

2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited

1992Option Pricing Under Incompleteness and Stochastic Volatility144 cited

2007Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching128 cited

2006Optimal Control and Hedging of Operations in the Presence of Financial Markets123 cited

2000On quadratic hedging in continuous time92 cited

2001Asset allocation and derivatives85 cited

2012Pricing and simulations of catastrophe bonds85 cited

2000Mean‐Variance Hedging for Stochastic Volatility Models84 cited

2002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging84 cited

2006Mean‐variance trade‐offs in supply contracts83 cited