Hedging in complete markets driven by normal martingales

• Autorzy: Youssef El-Khatib , Nicolas Privault
• Języki publikacji: EN

Abstrakty

EN

This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket $⟨M,M⟩_t$, including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.

Kategorie tematyczne

• 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
• 91B24: Price theory and market structure
• 60H07: Stochastic calculus of variations and the Malliavin calculus
• 60H05: Stochastic integrals

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2003
• Tom: 30
• Numer: 2
• Strony: 147-172

Daty

wydano

2003

Twórcy

autor

Youssef El-Khatib

• Département de Mathématiques, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle Cedex 1, France

autor

Nicolas Privault

• Département de Mathématiques, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle Cedex 1, France

Identyfikatory

DOI

10.4064/am30-2-2