Option pricing and hedge portfolios for poisson progresses

DOI10.1080/07362999008809204zbMath0697.90007OpenAlexW2042375928MaRDI QIDQ3475093

Robert J. Elliott, P. Ekkehard Kopp

Publication date: 1990

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999008809204

zbMATH Keywords

Poisson processesstochastic flowsprice processesmartingale representationEuropean call optionshedging portfolio

Mathematics Subject Classification ID

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

Related Items (9)

Equivalent martingale measures for bridge processes ⋮ Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty ⋮ Actuarial bridges to dynamic hedging and option pricing ⋮ Inference of binary regime models with jump discontinuities ⋮ Stochastic Flows and Jump-Diffusions ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows ⋮ Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation ⋮ APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES

Cites Work

• The Pricing of Options and Corporate Liabilities
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Option pricing and hedge portfolios for poisson progresses