Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Year of publication: |
1999
|
---|---|
Authors: | Frey, Rüdiger ; Runggaldier, Wolfgang J. |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 50.1999, 2, p. 339-350
|
Subject: | Hedging | Volatilität | Volatility | Informationsökonomik | Economics of information | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Theorie | Theory |
-
Föllmer, Hans, (1999)
-
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata, (2018)
-
Optimal pairs trading with time-varying volatility
Li, Thomas Nanfeng, (2016)
- More ...
-
Frey, Rüdiger, (1999)
-
Frey, Rüdiger, (1999)
-
A nonlinear filtering approach to volatility estimation with a view towards high frequency
Frey, Rüdiger, (2001)
- More ...