Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times

@article{Frey1999RiskminimizingHS,
  title={Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times},
  author={R{\"u}diger Frey and Wolfgang J. Runggaldier},
  journal={Math. Meth. of OR},
  year={1999},
  volume={50},
  pages={339-350}
}
We consider a market where the price of the risky asset follows a stochastic volatility model, but can be observed only at discrete random time points. We determine a local risk minimizing hedging strategy, assuming that the information of the agent is restricted to the observations of the price at its random jump times. Stochastic ®ltering also comes into play when computing the hedging strategy in the given situation of restricted information. 
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