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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
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- 한국전산응용수학회 Journal of applied mathematics & informatics Journal of applied mathematics & informatics 제27권 제5호
- 발행연도
- 2009.1
- 수록면
- 1,073 - 1,086 (14page)
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This paper considers the problems of martingale measures and risk-minimizing hedging strategies in the market with restricted information. By constructing a general restricted information market model, the explicit relation of arbitrage and the minimal martingale measure between two different information markets are discussed. Also a link among all equivalent martingale measures under restricted information market is given. As an example of restricted information markets, this paper constitutes a jump-diffusion process model and presents a risk minimizing problem under different information. Through $It\hat{o}$ formula and projection results in Schweizer[13], the explicit optimal strategy for different market information are given.
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