  In this paper, we investigate risk minimization problem of derivatives based
on non-tradable underlyings by means of dynamic g-expectations which are slight
different from conditional g-expectations. In this framework, inspired by [1]
and [16], we introduce risk indifference price, marginal risk price and
derivative hedge and obtain their corresponding explicit expressions. The
interesting thing is that their expressions have nothing to do with nonlinear
generator g, and one deep reason for this is due to the completeness of
financial market. By giving three useful special risk minimization problems, we
obtain the explicit optimal strategies with initial wealth involved,
demonstrate some qualitative analysis among optimal strategies, risk aversion
parameter and market price of risk, together with some economic
interpretations.
