UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS

DOI10.1142/S0219024912500525zbMath1282.91350arXiv1106.1395MaRDI QIDQ4902548

Jochen Zahn

Publication date: 16 January 2013

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

Full work available at URL: https://arxiv.org/abs/1106.1395

zbMATH Keywords

hedgingincomplete marketsutility maximizationvaluationjump diffusion processesfunctional differentiation

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Optimal hedging of options with small but arbitrary transaction cost structure
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Option pricing when underlying stock returns are discontinuous