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q-fin.PR2009
Robust mean-variance hedging in the single period model
R. Tevzadze, T. Uzunashvili
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.
q-fin.PR2007
-approximating pricing under restricted information
M. Mania, R. Tevzadze, T. Toronjadze
We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asse…