Abstract
In this paper we study mean–variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a continuous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim.
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