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Option Hedging in Continuous Time

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Part of the Lecture Notes in Mathematics book series (LNM,volume 1982)

Abstract

Here we review some applications to mathematical finance of the tools in- troduced in the previous chapters. We construct a market model with jumps in which exponential normal martingales are used to model random prices. We obtain pricing and hedging formulas for contingent claims, extending the classical Black-Scholes theory to other complete markets with jumps.

Keywords

  • Market Model
  • Contingent Claim
  • Hedging Strategy
  • Complete Market
  • Asian Option

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Correspondence to Nicolas Privault .

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© 2009 Springer-Verlag Berlin Heidelberg

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Privault, N. (2009). Option Hedging in Continuous Time. In: Stochastic Analysis in Discrete and Continuous Settings. Lecture Notes in Mathematics(), vol 1982. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02380-4_9

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