Dynamic complex hedging in additive markets

DOI10.1080/14697680902960234MaRDI QIDQ2994843zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera, João M. E. Guerra

Publication date 29 April 2011

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902960234

zbMATH Keywords

derivatives hedgingexotic optionsincomplete marketsinsider tradingLévy processmathematics of financeoptimizationportfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Chaotic and predictable representations for Lévy processes.
• Completion of a Lévy market by power-jump assets
• Hedging contingent claims on semimartingales
• Lévy term structure models: no-arbitrage and completeness
• On the range of options prices
• Optimal portfolios for logarithmic utility.
• Pricing contingent claims on stocks driven by Lévy processes
• Quantile hedging
• Risk-neutral compatibility with option prices
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Towards a general theory of bond markets

Cited in

(2)

• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• A Note on Market Completeness with American Put Options

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