Hedging of Contingent Claims in Incomplete Markets
نویسنده
چکیده
This report surveys important results in the literature on the problem of hedging contingent claims in incomplete markets. Consider a probability space (Ω,F , P ) and let X be a stochastic process describing the fluctuation of the stock price. Given a contingent claim H, the problem is to find an “optimal” admissible trading strategy, which is a dynamic porfolio of stock and bond (with fixed price), that can almost surely achieve the value H at some terminal time T .
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