Risk-minimizing hedging strategies under restricted information: the case of stochastic volatility models observed only at discrete random times

With the assumption that information cost is characterized by a Poisson process, this paper presents risk-minimizing problems under jump-diffusion models. First, the explicit optimal strategy under complete information is given using Itô formula. Second, the optimal strategy problem under restricted information is solved by projection. Copyright © 2009 John Wiley & Sons, Ltd.