PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL

DOI10.1142/S0219024902001729zbMath1107.91338OpenAlexW2078419004MaRDI QIDQ3022081

Eckhard Platen, David C. Heath

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://doi.org/10.1142/s0219024902001729

zbMATH Keywords

arbitragederivative pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

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Cites Work

• Changes of numéraire, changes of probability measure and option pricing