Geodesic
On the mean-variance hedging in the Ho--Lee diffusion model
Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 1, pp. 115-119

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On a standard stochastic basis $(\Omega, \mathscr{F}, \mathbb{F}, \mathsf{P})$, we consider a diffusion analogue of the model of interest rates proposed first by Ho and Lee in [ J. Finance, XLI (1986), pp. 1011–1029] for a binomial model. The paper gives a solution of a problem of the mean-variance hedging for an arbitrary contingent claim $H\in\mathscr{L}_2(\mathscr{F}_T,\mathsf{P})$ with expire time $T$. It is shown that the solution proposed is valid for the case where the expire time of a bond, in which means are invested, changes predictably.
Keywords: mean-variance hedging, time structure of interest rates, marginal measure.
Mots-clés : option 
@article{TVP_1999_44_1_a8,
     author = {M. L. Nechaev},
     title = {On the mean-variance hedging in the {Ho--Lee} diffusion model},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {115--119},
     publisher = {mathdoc},
     volume = {44},
     number = {1},
     year = {1999},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1999_44_1_a8/}
}
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M. L. Nechaev. On the mean-variance hedging in the Ho--Lee diffusion model. Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 1, pp. 115-119. http://geodesic.mathdoc.fr/item/TVP_1999_44_1_a8/