## Abstract

Mean-variance hedging is well-known as one of hedging methods for incomplete markets. Our end is leading to mean-variance hedging strategy for incomplete market models whose asset price process is given by a discontinuous semimartingale and whose mean-variance trade-off process is not deterministic. In this paper, on account, we focus on this problem under the following assumptions: (1) the local martingale part of the stock price process is a process with independent increments; (2) a certain condition restricting the number and the size of jumps of the asset price process is satisfied; (3) the mean-variance trade-off process is uniformly bounded; (4) the minimal martingale measure coincides with the variance-optimal martingale measure.

Original language | English |
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Pages (from-to) | 435-452 |

Number of pages | 18 |

Journal | Tokyo Journal of Mathematics |

Volume | 25 |

Issue number | 2 |

DOIs | |

Publication status | Published - 2002 |

Externally published | Yes |

## ASJC Scopus subject areas

- Mathematics(all)