Dynamic complex hedging in additive markets
نویسندگان
چکیده
In general, geometric additive models are incomplete and the perfect replication of derivatives, in the usual sense, is not possible. In this paper we complete the market by introducing the so-called power-jump assets. Using a static hedging formula, in order to relate call options and power-jump assets, we show that this market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. AMS 2000 subject classification: 60G46, 60H30, 91B28.
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