Перегляд за автором "Svishchuk, A.V."

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  • Hedging of options under mean-square criterion and semi-Markov volatility 
    Svishchuk, A.V. (Український математичний журнал, 1995)
    We consider a problem of hedging of the European call option for a model in which the appreciation rate and volatility are functions of a semi-Markov process. In such a model, the market is incomplete.