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The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
Fundamental Theorem of Asset Pricing Hedging Problem Maximal claims Supermartingale
2011/3/2
This paper consists of two parts. In the first part, by building on the work of Jouini
and Kallal in [26], Sch¨urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
Hedging under arbitrage
arbitrage delta hedging
2010/4/27
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This hold...
Tracking errors from discrete hedging in exponential Lévy models
exponential Levy models quadratic hedging delta hedging discetization error L2 convergence digital options
2010/4/27
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to ze...
Martingale representation for Poisson processes with applications to minimal variance hedging
Poisson process martingalerep resentation Clark-Ocone formula derivative operator Kunita-Watanabe decomposition Malliavin calculus independent random measure minimal variance hedge
2010/4/27
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$ ...