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.
BibTeX
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.
Tags
Press 'enter' for creating the tagPublication'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)