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Rüdiger Frey Wolfgang J. Runggaldier 《Mathematical Methods of Operations Research》1999,50(2):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 at its random jump times. Stochastic filtering also comes into play when computing
the hedging strategy in the given situation of restricted information. 相似文献