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Hedging of Options under Discrete Observation on Assets with Stochastic Volatility

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Seminar on Stochastic Analysis, Random Fields and Applications

Part of the book series: Progress in Probability ((PRPR,volume 36))

Abstract

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

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References

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Author information

Authors and Affiliations

  1. Università di Padova-Dipartimento di Matematica Pura ed Applicata and CNR-LADSEB, I-35100, Padova, Italy

    G. B. Di Masi

  2. Canberra ACT, Australia and IAAS, Australian National University, PF 1304, GPO Box 4, D-1086, Berlin, Germany

    E. Platen

  3. Università di Padova-Dipartimento di Matematica Pura ed Applicata, I-35100, Padova, Italy

    W. J. Runggaldier

Authors
  1. G. B. Di Masi
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  2. E. Platen
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  3. W. J. Runggaldier
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Editor information

Editors and Affiliations

  1. Institut für Mathematik, Abteilung Angewandte Mathematik, Universität Zürich-Irchel, Winterthurerstr. 190, CH-8057, Zürich, Switzerland

    Erwin Bolthausen

  2. Département de Mathématiques, Université de Nancy 1, B.P. 239, F-54506, Vandoeuvre-Les-Nancy Cedex, France

    Marco Dozzi

  3. Département de Mathématiques Institut Galilée, Université Paris-Nord, Av. Jean-Baptiste Clément, F-93430, Villetaneuse, France

    Francesco Russo

  4. BIBOS, Universität Bielefeld, D-33615, Bielefeld 1, Germany

    Francesco Russo

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© 1995 Springer Basel AG

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Di Masi, G.B., Platen, E., Runggaldier, W.J. (1995). Hedging of Options under Discrete Observation on Assets with Stochastic Volatility. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 36. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-7026-9_25

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  • DOI: https://doi.org/10.1007/978-3-0348-7026-9_25

  • Publisher Name: Birkhäuser, Basel

  • Print ISBN: 978-3-0348-7028-3

  • Online ISBN: 978-3-0348-7026-9

  • eBook Packages: Springer Book Archive

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