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

DOI10.1007/s001860050101zbMath0998.91026OpenAlexW2170886034MaRDI QIDQ1809502

Rüdiger Frey, Wolfgang J. Runggaldier

Publication date: 24 November 2002

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050101

zbMATH Keywords

hedgingstochastic volatilityfilteringrisk-minimizationrestricted information

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

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