Quotation Frey, Rüdiger, Runggaldier, W. 1999. Risk-minimizing hedging strategies under restricted information: the case of stochastic volatility models observed only at discrete random times. Mathematical Methods of Operations Reserarch (formerly: Zeitschrift für Operations Research (ZOR)) (50): 339-350.


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Abstract

With the assumption that information cost is characterized by a Poisson process, this paper presents risk-minimizing problems under jump-diffusion models. First, the explicit optimal strategy under complete information is given using Itô formula. Second, the optimal strategy problem under restricted information is solved by projection. Copyright © 2009 John Wiley & Sons, Ltd.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Mathematical Methods of Operations Research
Citation Index SCI
WU-Journal-Rating new FIN-A, INF-A, STRAT-B, VW-D, WH-B
Language English
Title Risk-minimizing hedging strategies under restricted information: the case of stochastic volatility models observed only at discrete random times
Number 50
Year 1999
Page from 339
Page to 350

Associations

People
Frey, Rüdiger (Details)
External
Runggaldier, W
Organization
Institute for Statistics and Mathematics IN (Details)
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