Hedging in complete markets driven by normal martingales
Tom 30 / 2003
Applicationes Mathematicae 30 (2003), 147-172
MSC: 91B24, 91B26, 91B28, 60H05, 60H07.
DOI: 10.4064/am30-2-2
Streszczenie
This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket $\langle M,M\rangle _t$, including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark–Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.
