Perfect option hedging and the hedge ratio

DOI10.1016/0165-1765(89)90068-2zbMath1328.91276OpenAlexW4238758645MaRDI QIDQ5899636

Sigrid M. Müller

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90068-2

Mathematics Subject Classification ID

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

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Arbitrage pricing of contingent claims
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Semimartingales: A course on stochastic processes