Risk‐minimizing hedging strategies with restricted information and cost

Jianqi Yang and Qingxian Xiao

Applied Stochastic Models in Business and Industry, 2010, vol. 26, issue 4, 401-415

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.

Date: 2010
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https://doi.org/10.1002/asmb.794

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:26:y:2010:i:4:p:401-415

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