Option pricing and perfect hedging on correlated stocks

DOI10.1016/S0378-4371(03)00619-8zbMath1054.91026arXivcond-mat/0012014MaRDI QIDQ1414496

Jaume Masoliver, Josep Perelló

Publication date: 23 November 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0012014

zbMATH Keywords

noise; Ornstein-Uhlenbeck process; price-variation autocorrelations

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91B24: Microeconomic theory (price theory and economic markets)

60G44: Martingales with continuous parameter

91B26: Auctions, bargaining, bidding and selling, and other market models

Related Items

Pricing exotic options in a path integral approach

Cites Work

• The Pricing of Options and Corporate Liabilities
• Elements for a theory of financial risks
• Fat tails and colored noise in financial derivatives
• On the theory of optimal control. Sufficient coordinates
• The Brownian movement and stochastic equations
• OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
• Handbook of stochastic methods for physics, chemistry and natural sciences.
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