Optimal hedging of path-dependent options in discrete time incomplete market
نویسندگان
چکیده
منابع مشابه
Optimal Hedging of Path-dependent Options in Discrete Time Incomplete Market
We consider hedging of a path-dependent European style option with convex continuous payoff in a discrete time incomplete market, where underlying stock price jumps are distributed over a bounded interval. The incompleteness of the market produces an interval of no-arbitrage option prices for the path-dependent option. Upper and lower bounds for the noarbitrage price interval are developed. Exp...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2008
ISSN: 0973-9599
DOI: 10.31390/cosa.2.3.10