Risk Minimization for a Filtering Micromovement Model of Asset Price

DOI10.1080/13504860903259852zbMath1229.91315OpenAlexW2129214394MaRDI QIDQ3565104

Yong Zeng, Kiseop Lee

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903259852

zbMATH Keywords

filteringcounting processrisk minimizationhigh frequency dataminimal martingale measure

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Comparison of numerical methods on pricing equations with non-Lévy jumps ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ A branching particle approximation to a filtering micromovement model of asset price ⋮ Mean-Variance Portfolio Selection for Partially Observed Point Processes ⋮ Stability of the filter with Poisson observations

Cites Work

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