Hedging of options under mean-square criterion and semi-Markov volatility

  • A. V. Svishchuk

Abstract

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.
Published
25.07.1995
How to Cite
SvishchukA. V. “Hedging of Options under Mean-Square Criterion and Semi-Markov Volatility”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 47, no. 7, July 1995, pp. 976–983, https://umj.imath.kiev.ua/index.php/umj/article/view/5493.
Section
Research articles