Risk minimizing hedging for a partially observed high frequency data model-Reference-Cited by-同舟云学术

Risk minimizing hedging for a partially observed high frequency data model

Published:2006-02 Issue:1 Volume:78 Page:13-31
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Ceci Claudia¹

Affiliation:

1. a Dipartimento di Scienze , Facolta' di Economia, Universita' di Chieti-Pescara , Pescara, I-65127, Italy

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442500500488316

Reference16 articles.

1. On sequential construction of solutions of stochastic differential equations with jump terms

2. Ceci, C. and Gerardi, A., 2005, A model for high frequency data under partial information: a filtering approach. Preprint (2005), Univ. dell'Aquila, http://www.diel.univaq.it/intranet/index.php to appear in International Journal of Theoretical and Applied Finance.

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