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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| Date: | 1995 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Institute of Mathematics, NAS of Ukraine
1995
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| 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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