We 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...

This paper studies a class of diffusion models for stock prices derived by a microeconomic approach. We consider discrete-time processes resulting from a market equilibrium and then apply an invariance principle to obtain a continuous-time model. the resulting process is an Ornstein-Uhlenbeck...

We consider a very general diffusion model for asset prices which allows the description of stochastic and past-dependent volatilities. Since this model typically yields an incomplete market, we show that for the purpose of pricing options, a small investor should use the minimal equivalent...