Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method
We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset is governed by a jump diffusion equation with stochastic volatility. We obtain the Radon-Nikodym derivative for the minimal martingale measure and a partial integro-diffe...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2013-01-01
|
| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2013/165727 |