Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical Methods of Operations Research 50 (1999) 2, pp. 339-350
We consider a market where the price of the risky asset follows a stochastic volatility model, but can be observed only at discrete random time points. We determine a local risk minimizing hedging strategy, assuming that the information of the agent is restricted to the observations of the price...