Minimum variance hedging in a model with jumps at Poisson random times

DOI10.1090/S0094-9000-09-00771-6zbMath1224.91162OpenAlexW2087035849MaRDI QIDQ5391387

Vadym M. Radchenko

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-09-00771-6

zbMATH Keywords

European call optionFöllmer-Schweizer decompositionminimal martingale measureminimum variance hedgingoption price model with jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

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