Risk‐minimizing hedging strategies with restricted information and cost |
| |
| Authors: | Jianqi Yang Qingxian Xiao |
| |
| Institution: | Business School, University of Shanghai for Science and Technology, Jungong Road 516, 200093 Shanghai, China |
| |
| Abstract: | With the assumption that information cost is characterized by a Poisson process, this paper presents risk‐minimizing problems under jump‐diffusion models. First, the explicit optimal strategy under complete information is given using Itô formula. Second, the optimal strategy problem under restricted information is solved by projection. Copyright © 2009 John Wiley & Sons, Ltd. |
| |
| Keywords: | jump‐diffusion processes hedging technique risk management risk‐minimizing hedging strategies |
|
|
