The Annals of Applied Probability · 1992 · 259 citations · 9 references
BusinessFinanceRisk ManagementAsset PricingFinancial EconomicsQuantitative FinanceCapital Asset Pricing ModelHedgingMarket RiskOption PricingRisk TheoryContingent Claim ValuationCorrelated ValuationsIntrinsic Value AssessmentMean-variance AnalysisMean-variance HedgingRisk Hedging
We consider a hedger with a mean-variance objective who faces a random loss at a fixed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem by introducing the intrinsic value process of a contingent claim.
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An Intertemporal Capital Asset Pricing Model
Robert C. Merton · Econometrica · 1973 · 6.8K citations
On Square Integrable Martingales
Hiroshi Kunita, Shinzo Watanabe · Nagoya Mathematical Journal · 1967 · 627 citations · Full text