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Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350
Persistent link: https://www.econbiz.de/10006626460
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Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350
Persistent link: https://www.econbiz.de/10001428847
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On dynamic programming for sequential decision problems under a general form of uncertainty
DaiPra, Paolo - In: Mathematical methods of operations research 45 (1997) 1, pp. 81-107
Persistent link: https://www.econbiz.de/10001217607