Risk-Minimizing Hedging Strategies Under Restricted Information
AbstractWe construct risk-minimizing hedging strategies in the case where there are restrictions on the available information. the underlying price process is a "d"-dimensional F-martingale, and strategies &phis;= (ϑ, η) are constrained to have η G-predictable and η G'-adapted for filtrations η G C G'C F. We show that there exists a unique (ηG, G')-risk-minimizing strategy for every contingent claim H ε E 𝓎-super-2 (𝓎 T, "P") and provide an explicit expression in terms of η G-predictable dual projections. Previous results of FÃ¶llmer and Sondermann (1986) and Di Masi, Platen, and Runggaldier (1993) are recovered as special cases. Examples include a Black-Scholes model with delayed information and a jump process model with discrete observations. Copyright 1994 Blackwell Publishers.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 4 (1994)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "A Benchmark Approach to Risk-Minimization under Partial Information," Papers 1307.6036, arXiv.org.
- Mercurio, Fabio, 2001. "Claim pricing and hedging under market incompleteness and "mean-variance" preferences," European Journal of Operational Research, Elsevier, vol. 133(3), pages 635-652, September.
- Brigo, Damiano & Hanzon, Bernard, 1998. "On some filtering problems arising in mathematical finance," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 53-64, May.
- Romuald Momeya & Zied Salah, 2012. "The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model," Asia-Pacific Financial Markets, Springer, vol. 19(1), pages 63-98, March.
- Damiano Brigo & Fabio Mercurio, 2008. "Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing," Papers 0812.4010, arXiv.org.
- Michael Mania & Marina Santacroce, 2008. "Exponential Utility Maximization under Partial Information," ICER Working Papers - Applied Mathematics Series 24-2008, ICER - International Centre for Economic Research.
- Covello, D. & Santacroce, M., 2010. "Power utility maximization under partial information: Some convergence results," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 2016-2036, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.