OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS

DOI10.1142/S0219024902001444zbMath1138.91429arXivcond-mat/0011506MaRDI QIDQ3022045

Marc Potters, Jean-Philippe Bouchaud, Lorenzo Cornalba

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0011506

zbMATH Keywords

hedgingnon-Gaussian processesOption pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Optimal Hedging of American Options in Discrete Time ⋮ Option pricing and perfect hedging on correlated stocks ⋮ Optimal hedging in discrete time ⋮ The valuation of no-negative equity guarantees and equity release mortgages

Cites Work

• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes