Hedging of options under mean-square criterion and semi-Markov volatility
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging Options under Stochastic Volatility
In this essay, I mainly discuss how to price and hedge options in stochastic volatility (SV) models. The market is incomplete in the SV model, whereas it is complete in the Black-Scholes model. Thus the option pricing and hedging methods are a little different for the SV model and for the Black-Scholes model. The no-arbitrage argument and the risk-neutral valuation method are two general method...
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ژورنال
عنوان ژورنال: Ukrainian Mathematical Journal
سال: 1995
ISSN: 0041-5995,1573-9376
DOI: 10.1007/bf01084908