WIAS Preprint No. 13, (1992)

Hedging of options under discrete observation on assets with stochastic volatility.



Authors

  • Di Masi, G. B.
  • Platen, Eckhard
  • Runggaldier, W. J.

2010 Mathematics Subject Classification

  • 60H10

Keywords

  • Stochastic differential equations, option pricing, stochastic volatility, discrete observation

DOI

10.20347/WIAS.PREPRINT.13

Abstract

The paper considers the hedhing of contingent claims on assets with stoachstic volatilities when the asset price is only obervable at discrete time instants. Explicit fomulae are given for risk-minimizing hedging strategies.

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