Option Hedging in Continuous Time
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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.
KeywordsMarket Model Contingent Claim Hedging Strategy Complete Market Asian Option
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