Option Hedging in Continuous Time

  • Nicolas PrivaultEmail author
Part of the Lecture Notes in Mathematics book series (LNM, volume 1982)


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.


Market Model Contingent Claim Hedging Strategy Complete Market Asian Option 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of MathematicsCity University of Hong KongHong Kong P.R. China

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