In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can observe at least the asset prices. We characterize the optimal strategy in terms of suitable decompositions of a given contingent claim, with respect to a filtration representing the information level, even in presence of jumps. Finally, we discuss an application to a Markovian framework and show that the computation of the optimal strategy leads to filtering problems under the real-world probability measure and under the minimal martingale measure. © 2015, University of Washington. All right reserved.

Local risk-minimization under restricted information on asset prices / Ceci, Claudia; Colaneri, Katia; Alessandra, Cretarola. - In: ELECTRONIC JOURNAL OF PROBABILITY. - ISSN 1083-6489. - 20:(2015), pp. 1-31. [10.1214/EJP.v20-3204]

Local risk-minimization under restricted information on asset prices

CECI, Claudia;
2015

Abstract

In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can observe at least the asset prices. We characterize the optimal strategy in terms of suitable decompositions of a given contingent claim, with respect to a filtration representing the information level, even in presence of jumps. Finally, we discuss an application to a Markovian framework and show that the computation of the optimal strategy leads to filtering problems under the real-world probability measure and under the minimal martingale measure. © 2015, University of Washington. All right reserved.
2015
Filtering; Local risk-minimization; Markovian processes; Partial information
01 Pubblicazione su rivista::01a Articolo in rivista
Local risk-minimization under restricted information on asset prices / Ceci, Claudia; Colaneri, Katia; Alessandra, Cretarola. - In: ELECTRONIC JOURNAL OF PROBABILITY. - ISSN 1083-6489. - 20:(2015), pp. 1-31. [10.1214/EJP.v20-3204]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1660630
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