Robust option replication for a Black-Scholes model extended with nondeterministic trends

DOI10.1155/S104895339900012XzbMath0948.60047MaRDI QIDQ1307618

John G. M. Schoenmakers, Peter E. Kloeden

Publication date: 19 November 2000

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/48564

zbMATH Keywords

Black-Scholes modelslong range behaviornull quadratic variation process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (11)

A Delayed Black and Scholes Formula ⋮ Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions ⋮ Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model ⋮ Arbitrage and hedging in a non probabilistic framework ⋮ Clark-Ocone type formula for non-semimartingales with finite quadratic variation ⋮ The covariation for Banach space valued processes and applications ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ Pricing by hedging and no-arbitrage beyond semimartingales ⋮ Existence and uniqueness for solutions of mixed stochastic delay differential equations ⋮ Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle ⋮ LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA

This page was built for publication: Robust option replication for a Black-Scholes model extended with nondeterministic trends