Milstein, Grigori N.; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in which evolution of price processes for a saving account and stocks depends on an observable Markov chain. The pricing function is evaluated using the martingale approach. The...