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By measuring the total risk by conditional mean square error between the terminal valuation of hedging portfolio and the total payment during the hedging horizon, and under the constraint of self-financing strategy, in this paper, at first, we properly construct a hedging model to study the quadratic hedging for stochastic payment styled contingent claims; then, during the hedging horizon [0,T], by...
Measuring financial risks with the conditional mean square error process of cost, we construct risk-minimizing hedging model and study the dynamic hedging problem for stochastic payment styled contingent claims. For any given contingent claim with stochastic payment flow, we firstly prove that there is a unique risk-minimizing hedging strategy by taking advantage of the G-K-W decomposition theorem;...
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