Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
type: Item
instance of: scholarly article
title: Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
zbMATH Open document ID: 0998.91026
author: Rüdiger Frey
author: Wolfgang J. Runggaldier
published in: Mathematical Methods of Operations Research
publication date: 2002-11-24T00:00:00Z
review text: This paper studies risk-minimizing hedging strategies in a diffusion model with a stochastic volatility driven by a Markov process \(X\), when the price process can only be observed at the jump times of a Cox process whose intensity is also driven by \(X\). This is rewritten as a problem of hedging under restricted information as in the reviewer's paper [cf. \textit{M. Schweizer}, Math. Finance 4, 327-342 (1994; Zbl 0884.90051)], and the Markovian structure of \(X\) reduces this to solving an integro-partial differential equation. Under suitable assumptions, the involved conditional expectations can also be computed by filtering techniques.
reviewed by: Martin Schweizer
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 1370338
zbMATH Keywords: risk-minimization
zbMATH Keywords: stochastic volatility
zbMATH Keywords: restricted information
zbMATH Keywords: hedging
zbMATH Keywords: filtering
MaRDI profile type: Publication
full work available at URL: s001860050101
OpenAlex ID: W2170886034
DOI: 10.1007/S001860050101
description: scientific article; zbMATH DE number 1370338