Hedging discontinuous stochastic volatility models
نویسنده
چکیده
We consider a stochastic volatility model with jumps where the underlying asset price is driven by a process sum of a 2-dimensional Brownian motion and 2-dimensional compensated Poisson process. The market is incomplete, there is an infinity of Equivalent Martingale Measures (E.M.M) and an infinity of hedging strategies. We characterize the set of E.M.M, and we hedge by minimizing the variance using Malliavin calculus.
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