Hedging of Options under Discrete Observation on Assets with Stochastic Volatility-Reference-Cited by-同舟云学术

Hedging of Options under Discrete Observation on Assets with Stochastic Volatility

Published:1995 Issue: Volume: Page:359-364
ISSN:
Container-title:Seminar on Stochastic Analysis, Random Fields and Applications
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Author:

Di Masi G. B.,Platen E.,Runggaldier W. J.

Publisher

Birkhäuser Basel

Link

http://link.springer.com/content/pdf/10.1007/978-3-0348-7026-9_25

Reference11 articles.

1. G. B. Di Masi, W. J. Runggaldier, On measure transformations for combined filtering and parameter estimation in discrete time, Systems & Control Letters 2 (1982), 57–62.

2. H. Föllmer, M. Schweizer, Hedging of contingent claims under incomplete information, In: Applied Stochastic Analysis, Stochastic Monographs (M. H. A. Davis and R. J. Elliott, eds.), vol. 5, Gordon & Breach, London/New York, 1991, pp. 389–414.

3. H. Föllmer, D. Sondermann, Hedging of non-redundant contingent claims, In: Contributions to Mathematical Economics (W. Hildenbrand and A. Mas-Colell, eds. ), 1986, pp. 205–223.

4. D. Galai, Inferring volatility from option prices, Finance 12 (1991).

5. J. M. Harrison, D. M. Kreps, Martingales and arbitrage in multiperiod securities markets, J. of Economic Theory 20 (1979), 381–408.

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