𝔖 Bobbio Scriptorium
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RISK-MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION

✍ Scribed by Martin Schweizer


Book ID
111042978
Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
592 KB
Volume
4
Category
Article
ISSN
0960-1627

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Risk-minimizing hedging strategies with
✍ Jianqi Yang; Qingxian Xiao πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 126 KB

## 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 ItΓ΄ formula. Second, the optimal strategy problem und