Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times

Mathematical Methods of Operations Research

Volumn 50, Issue 2, 1999, Pages 339-350

  Frey, Rüdiger ^a   Runggaldier, Wolfgang J ^b  

^a UNIVERSITY OF ZURICH   (Switzerland)

^b UNIVERSITY OF PADOVA   (Italy)

Author keywords

Discontinuous prices; Hedging under restricted information; Marked point processes; Risk minimizing hedging strategies; Stochastic filtering; Stochastic volatility

Indexed keywords

EID: 0039566407     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860050101     Document Type: Article

References (20)

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