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- W4300620789 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 some practical examples in 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 minimalmartingale measure." @default.
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- W4300620789 date "2013-12-16" @default.
- W4300620789 modified "2023-10-09" @default.
- W4300620789 title "Local risk-minimization under restricted information to asset prices" @default.
- W4300620789 doi "https://doi.org/10.48550/arxiv.1312.4385" @default.
- W4300620789 hasPublicationYear "2013" @default.
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