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

Authors

  • 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.

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Published

25.07.1995

Issue

Vol. 47 No. 7 (1995)

Section

Research articles

How to Cite

Svishchuk, A. 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.