Hedging of options under discrete observation on assets with stochastic volatility.
- Di Masi, G. B.
- Platen, Eckhard
- Runggaldier, W. J.
2010 Mathematics Subject Classification
- Stochastic differential equations, option pricing, stochastic volatility, discrete observation
The paper considers the hedging of contingent claims on assets with stoachstic volatilities when the asset price is only observable at discrete time instants. Explicit fomulae are given for risk-minimizing hedging strategies.