On Minimizing Risk in Incomplete Markets Option Pricing Models

DOI10.1142/S0219024998000126zbMath0909.90024MaRDI QIDQ4216108

Ola Hammarlid

Publication date: 28 December 1998

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

zbMATH Keywords

incomplete marketfair game condition

Mathematics Subject Classification ID

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

Related Items (11)

Properties of multinomial lattices with cumulants for option pricing and hedging ⋮ RISKY OPTIONS SIMPLIFIED ⋮ A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ A time-series approach to non-self-financing hedging in a discrete-time incomplete market ⋮ VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING ⋮ DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS ⋮ An introduction to statistical finance ⋮ An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ Elements for a theory of financial risks

Cites Work

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

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