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Risk-minimizing hedging strategies with restricted information and cost

✍ Scribed by Jianqi Yang; Qingxian Xiao

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
126 KB
Volume
26
Category
Article
ISSN
1524-1904

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✦ Synopsis

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 Itô formula. Second, the optimal strategy problem under restricted information is solved by projection. Copyright © 2009 John Wiley & Sons, Ltd.

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