A note on delta hedging in markets with jumps

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DOI10.1093/IMAMAT/HXS065zbMath1292.91176arXiv1103.4965OpenAlexW3126071336MaRDI QIDQ5418941

Aleksandar Mijatović, Mikhail A. Urusov

Publication date: 30 May 2014

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.4965

zbMATH Keywords

martingale representation delta hedging Black-Merton-Scholes model exact replication models with jumps

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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