Selection of hedging strategies based on different informations
Yang Jianqi · Journal of the University of Shanghai for Science and Technology · 2008
Using martingale method the paper presents the risk minimizing problem of investors with different informations.By constructing a jump-diffsion model of risky assets the explicit optimal strategy under complete information was given based on Itformula and martingale representation theorem.Then,the optimal strategy under incomplete information was achieved by projection.