Hedging in complete markets driven by normal martingales

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 strategieschaos representation propertyexotic optionsnormal martingales

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Auctions, bargaining, bidding and selling, and other market models (91B26)

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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