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

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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Bibliographic Details
Date:	1995
Main Authors:	Svishchuk, A. V., Свіщук, А. В.
Format:	Article
Language:	English
Published:	Institute of Mathematics, NAS of Ukraine 1995
Online Access:	https://umj.imath.kiev.ua/index.php/umj/article/view/5493
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Journal Title:	Ukrains’kyi Matematychnyi Zhurnal
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