Risk-minimizing hedging strategies with restricted information and cost

DOI10.1002/asmb.794zbMath1226.91079OpenAlexW4255837955MaRDI QIDQ3103158

Jianqi Yang, Qingxian Xiao

Publication date: 26 November 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.794

zbMATH Keywords

risk managementjump-diffusion processesrisk-minimizing hedging strategieshedging technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility

Cites Work

• Optimal trading strategy for an investor: the case of partial information
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• MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH