Residual risks and hedging strategies in Markovian markets

DOI10.1016/0304-4149(89)90071-9zbMath0743.60069OpenAlexW2070819770MaRDI QIDQ1812724

Damien Lamberton, Nicolas Bouleau

Publication date: 25 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90071-9

zbMATH Keywords

optionshedging strategiesright Markov processesportfoliossymmetric Markov processesprocesses with independent increments

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov processes (60J99)

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Cites Work

• Calcul stochastique et problèmes de martingales
• On the theory of option pricing
• Formules de changement de variables
• Représentation prévisible et changement de temps. (Previsible representation and change of time)
• Formes de Dirichlet générales et densité des variables aléatoires réelles sur l'espace de Wiener. (General Dirichlet forms and density of real random variables on Wiener space)
• Martingales and stochastic integrals in the theory of continuous trading
• Markov processes: Ray processes and right processes
• Option pricing when underlying stock returns are discontinuous
• Markov additive processes. I
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