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Methodology and Computing in Applied Probability - We study an information asymmetry problem in a bond market. Especially we derive bond price dynamics of traders with different levels of... 相似文献
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Kiseop Lee 《Applied Mathematical Finance》2013,20(2):177-199
Abstract The classical option hedging problems have mostly been studied under continuous-time or equally spaced discrete-time models, which ignore two important components in the actual price: random trading times and market microstructure noise. In this paper, we study optimal hedging strategies for European derivatives based on a filtering micromovement model of asset prices with the two commonly ignored characteristics. We employ the local risk-minimization criterion to develop optimal hedging strategies under full information. Then, we project the hedging strategies on the observed information to obtain hedging strategies under partial information. Furthermore, we develop a related nonlinear filtering technique under the minimal martingale measure for the computation of such hedging strategies. 相似文献
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