Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times

DOI10.1137/S0040585X97982578zbMath1255.91407MaRDI QIDQ5422359

Vadym M. Radchenko

Publication date: 19 October 2007

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

European call optionFöllmer-Schweizer decompositionminimal martingale measuremodel of asset price with jumpsnonrandom jump timesvariance-minimizing hedging

Mathematics Subject Classification ID

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

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