We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending explicitly on time. This is achieved by approximating the original coefficients with functions that are piecewise constant in time. We give an...

We use techniques from discrete-time stochastic control under partial state information to determine a shortfall-risk minimizing investment strategy in the case when there is only restricted information on the underlying market model and transaction costs as well as shortselling constraints are...