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Di Masi, G. B. [Author]; Platen, Eckhard [Author]; Runggaldier, W. J. [Author]

Hedging of Options under Discrete Observation on Assets with Stochastic Volatility

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  • Media type: Text; E-Article; E-Article
  • Title: Hedging of Options under Discrete Observation on Assets with Stochastic Volatility
  • Contributor: Di Masi, G. B. [Author]; Platen, Eckhard [Author]; Runggaldier, W. J. [Author]
  • imprint: Weierstrass Institute for Applied Analysis and Stochastics publication server, 1995
  • Language: English
  • DOI: https://doi.org/10.1007/978-3-0348-7026-9_25
  • Keywords: article ; Hedging of options -- incomplete markets -- stochastic volatility -- incomplete observations
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: The paper considers the hedging of contingent claims on assets with stochastic volatilities when the asset price is only observable at discrete time instants. Explicit formulae are given for risk-minimizing hedging strategies.