This paper studies a hedging problem in the market where an investor can observe a risky asset price process but he does not know true parameters of this process. The investor is assumed to hedge derivatives on the risky asset by a partial super-hedging strategy in order to cut the hedging cost. We show two partial differential equations which play an important role to solve the optimal hedging cost and an optimal strategy. Further we analyze the optimal hedging cost numerically by trinomial models.
|ジャーナル||Japan Journal of Industrial and Applied Mathematics|
|出版ステータス||出版済み - 11 1 2017|
All Science Journal Classification (ASJC) codes
- Applied Mathematics