Hedging in complete markets driven by normal martingales
Hedging in complete markets driven by normal martingales
复制标题
由正常鞅驱动的完整市场中的对冲
DOI：
10.4064/am30-2-2
复制
发表时间：
2003
影响因子：
--
通讯作者：
Nicolas Privault
中科院分区：
文献类型：
--
作者：
Youssef El;Nicolas Privault
This paper aims at a unied treatment of hedging in market models driven by martingales with deterministic brackethM;Mit, 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.
