Geodesic
Hedging in complete markets driven by normal martingales
Youssef El-Khatib1 ; Nicolas Privault1
1 Département de Mathématiques Université de La Rochelle Avenue Michel Crépeau 17042 La Rochelle Cedex 1, France
Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 147-172

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/am30-2-2
Keywords: paper aims unified treatment hedging market models driven martingales deterministic bracket langle rangle including brownian motion poisson process particular cases replicating hedging strategies european asian lookback options explicitly computed using either clark ocone formula extension delta hedging method depending which appropriate

Youssef El-Khatib 1 ; Nicolas Privault 1

1 Département de Mathématiques Université de La Rochelle Avenue Michel Crépeau 17042 La Rochelle Cedex 1, France 
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Youssef El-Khatib; Nicolas Privault. Hedging in complete markets
 driven by normal martingales. Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 147-172. doi: 10.4064/am30-2-2

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