Risk Minimizing Hedging in a Partially Observed High Frequency Data Model: a Filtering Approach

Claudia Ceci

Abstract


Risk-minimizing hedging strategies for contingent claims are studied in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price S is modeled as a geometric marked point process whose local characteristics depend on some unobservable process X, which may have common jump times with S. Assuming that the price S is modeled directly under a martingale measure, the computation of the risk-minimizing hedging strategy when the hedger is restricted to observing past asset prices leads to a filtering problem.

[DOI: 10.1685/CSC06043] About DOI

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[DOI: 10.1685/] About DOI

Url Resolver: : http://dx.doi.org/10.1685/





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