Hedging in complete markets driven by normal martingales

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Publication:4425013

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DOI10.4064/am30-2-2zbMath1173.91364OpenAlexW2034693088MaRDI QIDQ4425013

Youssef El-Khatib, Nicolas Privault

Publication date: 9 September 2003

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am30-2-2

zbMATH Keywords

hedging strategies chaos representation property exotic options normal martingales

Mathematics Subject Classification ID

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Related Items (4)

BSDEs driven by normal martingale ⋮ PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS ⋮ Numerical simulations for the pricing of options in jump diffusion markets ⋮ On option pricing in illiquid markets with jumps

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