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q-fin.PR2017
Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model
Massimo Caccia, Bruno Rémillard
In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dependent volatility and se…
q-fin.PR2012
Optimal hedging in discrete time
Bruno Rémillard, Sylvain Rubenthaler
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In pa…