BFS 2002 

Contributed Talk 
Frank Thierbach
In this paper we analyse the meanvariance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of nonattainable contingent claims.
Due to noarbitrage arguments, our set of investment opportunities increases and the set of possible equivalent martingale measures shrinks. Therefore, we obtain a modified meanvariance hedging problem, which takes into account the observed additional market information.
Solving this by means of the techniques developed by Gouriéroux, Laurent and Pham (1998), we obtain an explicit description of the optimal hedging strategy and an admissible, constrained varianceoptimal signed martingale measure, that generates both the approximation price and the observed option prices.