Hedging for non-standard European contingents

Abstract

The problem of risk-minimizing hedging for non-standard European contingent is considered. At first, a non-standard European contingent is demonstrated as stochastic payment streams. Then The existence of the risk minimization strategy and also the uniqueness are proved under two kinds market information by using Galtchouk-Kunita-Watanabe decomposition. Furthermore, by constructing a 0-achieving strategy risk-minimizing strategies is given in full information case. Existence and uniqueness are also This research is supported by Hunan Provincial Department of Education Research Project(17A080) and National Natural Science Foundation(71271136) proven. And further, we have proven risk-minimizing strategies exists and is unique under restrict information by constructing a weakly mean-selffinancing strategy. 60G35.