Skip to main content
SpringerLink
Log in

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

  • Published:
Ukrainian Mathematical Journal Aims and scope

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. H. Föllmer and D. Sondermann, “Hedging of nonredundant contingent claims,” in: W. Hildenbrand and A. MasColell (editors),Contributions to Mathematical Economics, North-Holland, Amsterdam-New York (1986), pp. 205–223.

    Google Scholar 

  2. H. Fölmer and M. Schweizer, “Hedging of contingent claims under incomplete information,” in:Appl. Stoch. Anal., Gordon and Breach, New York-London (1991), pp. 389–414.

    Google Scholar 

  3. G. Di-Masi, Yu. Kavanov, and W. Runggaldier, “Hedging of options under mean-square criterion and Markov volatility,”Theory Probab. Appl.,39, No. 1, 211–222 (1994).

    Google Scholar 

  4. V. S. Korolyuk and A. V. Svishchuk,Semi-Markov Random Evolutions [in Russian], Naukova Dumka, Kiev (1992).

    Google Scholar 

  5. A. V. Svishchuk, “Limit theorems for stochastic differential equations with semi-Markov switching,” in:Proceedings of the III International Conference “Evolution Stochastic Systems: Theory and Applications” (Katsiveli, Ukraine), VSP-TVP, Utrecht-Moscow (1994), p. 14.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Institute of Mathematics, Ukrainian Academy of Sciences, Kiev

    A. V. Svishchuk

Authors
  1. A. V. Svishchuk
    View author publications

    You can also search for this author in PubMed Google Scholar

Additional information

Published in Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 7, pp. 976–983, July, 1995.

The work was partially supported by Grant No. K43100 from the Joint Fund of the Government of Ukraine and the International Science Foundation.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Svishchuk, A.V. Hedging of options under mean-square criterion and semi-Markov volatility. Ukr Math J 47, 1119–1127 (1995). https://doi.org/10.1007/BF01084908

Download citation

  • Received:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01084908

Keywords

Search

Navigation