Hedging in complete markets driven by normal martingales

Youssef El-Khatib, and Nicolas Privault. "Hedging in complete markets driven by normal martingales." Applicationes Mathematicae 30.2 (2003): 147-172. <http://eudml.org/doc/279490>.

@article{YoussefEl2003,
abstract = {This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket $⟨M,M⟩_t$, 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.},
author = {Youssef El-Khatib, Nicolas Privault},
journal = {Applicationes Mathematicae},
keywords = {normal martingales; chaos representation property; hedging strategies; exotic options},
language = {eng},
number = {2},
pages = {147-172},
title = {Hedging in complete markets driven by normal martingales},
url = {http://eudml.org/doc/279490},
volume = {30},
year = {2003},
}

TY - JOUR
AU - Youssef El-Khatib
AU - Nicolas Privault
TI - Hedging in complete markets driven by normal martingales
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 2
SP - 147
EP - 172
AB - This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket $⟨M,M⟩_t$, 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.
LA - eng
KW - normal martingales; chaos representation property; hedging strategies; exotic options
UR - http://eudml.org/doc/279490
ER -