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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…
math.PR2007
Mean-variance Hedging Under Partial Information
M. Mania, R. Tevzadze, T. Toronjadze
We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructe…
math.PR2007
Solvability of Backward Stochastic Differential Equations with Quadratic Growth
Revaz Tevzadze
We prove the existence of the unique solution of a general Backward Stochastic Differential Equation with quadratic growth driven by martingales. Some kind of comparison theorem is…