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

Rüdiger Frey and Wolfgang J. Runggaldier

Mathematical Methods of Operations Research, 1999, vol. 50, issue 2, 339-350

Abstract: We consider a market where the price of the risky asset follows a stochastic volatility model, but can be observed only at discrete random time points. We determine a local risk minimizing hedging strategy, assuming that the information of the agent is restricted to the observations of the price at its random jump times. Stochastic filtering also comes into play when computing the hedging strategy in the given situation of restricted information. Copyright Springer-Verlag Berlin Heidelberg 1999

Keywords: Key words: Stochastic volatility; discontinuous prices; hedging under restricted information; risk minimizing hedging strategies; stochastic filtering; marked point processes (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://hdl.handle.net/10.1007/s001860050101 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:50:y:1999:i:2:p:339-350

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/s001860050101

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().