Actuarial bridges to dynamic hedging and option pricing

DOI10.1016/0167-6687(96)85007-4zbMath0896.62112OpenAlexW1976953378MaRDI QIDQ1381457

Publication date: 17 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(96)85007-4

zbMATH Keywords

Wiener process optimal stopping equivalent martingale measure arbitrage fundamental theorem of asset pricing perpetual American options dynamic hedging risk-neutral measure smooth pasting condition Esscher transforms optional sampling theorem security prices high contact condition Margrabe option option-pricing theory Poisson process model self-financing replicating portfolios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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