ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
We construct risk-minimizing hedging strategies in the case where there are restrictions on the available information. the underlying price process is a d-dimensional F-martingale, and strategies φ= (ϑ, η) are constrained to have η G-predictable and η G'-adapted for filtrations η G C G’C F. We show that there exists a unique (ηG, G')-risk-minimizing strategy for every contingent claim H ε E ??2 (??T, P) and provide an explicit expression in terms of η G-predictable dual projections. Previous results of Föllmer and Sondermann (1986) and Di Masi, Platen, and Runggaldier (1993) are recovered as special cases. Examples include a Black-Scholes model with delayed information and a jump process model with discrete observations.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1467-9965.1994.tb00062.x
