Hedging of options under mean-square criterion and semi-Markov volatility
We consider a problem of hedging of the European call option for a model in which the appreciation rate and volatility are functions of a semi-Markov process. In such a model, the market is incomplete.
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| Date: | 1995 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
1995
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| Series: | Український математичний журнал |
| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/164229 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Hedging of options under mean-square criterion and semi-Markov volatility / A.V. Svishchuk // Український математичний журнал. — 1995. — Т. 47, № 7. — С. 976–983. — Бібліогр.: 5 назв. — англ. |