OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
نویسندگان
چکیده
منابع مشابه
Option Pricing and Hedging with Temporal Correlations
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic–risk minimisation scheme, we obtain a general formula, valid for weakly correlated non–Gaussian processes. We show that for Gaussian price increments, the correlations are irrelevant, and the Black–Scholes formula holds with the volatility of the price increments on the scale of t...
متن کاملNumeraire Invariance and application to Option Pricing and Hedging
Numeraire invariance is a well-known technique in option pricing and hedging theory. It takes a convenient asset as the numeraire, as if it were the medium of exchange, and expresses all other asset and option prices in units of this numeraire. Since the price of the numeraire relative to itself is identically 1 at all times, this reduces pricing and hedging to a market with zero-interest rates...
متن کاملReport on "American Option Pricing and Hedging Strategies"
This paper mainly discusses the American option’s hedging strategies via binomial model and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturi...
متن کاملOption pricing and perfect hedging on correlated stocks
We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ ≥ 0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a...
متن کاملMultivariate Option Pricing With Time Varying Volatility and Correlations
CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du Ministère du Développement économique et régional et de la Recherche, de même que des subventions et mandats obtenus par ses équ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2002
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024902001444