HEDGING UNDER ARBITRAGE
نویسندگان
چکیده
منابع مشابه
M ar 2 01 0 Hedging under arbitrage ∗
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no equivalent local martingale measure exists but only a square-integrable market price of risk. A new probability measure is constructed, which takes the place of an ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2012
ISSN: 0960-1627
DOI: 10.1111/j.1467-9965.2011.00502.x