Option pricing and perfect hedging on correlated stocks

DOI10.1016/S0378-4371(03)00619-8zbMath1054.91026arXivcond-mat/0012014OpenAlexW3103745190MaRDI QIDQ1414496

Josep Perelló, Jaume Masoliver

Publication date: 23 November 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0012014

zbMATH Keywords

noiseOrnstein-Uhlenbeck processprice-variation autocorrelations

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Pricing exotic options in a path integral approach ⋮ Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
• Handbook of stochastic methods for physics, chemistry and natural sciences.

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