A model-free approach to delta hedging

Michel Fliess and Cédric Join ()
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Michel Fliess: LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, ALIEN - Algebra for Digital Identification and Estimation - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Centre Inria de Saclay - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Cédric Join: ALIEN - Algebra for Digital Identification and Estimation - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Centre Inria de Saclay - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, CRAN - Centre de Recherche en Automatique de Nancy - UHP - Université Henri Poincaré - Nancy 1 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Abstract: See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.

Keywords: Delta hedging; trends; quick fluctuations; abrupt changes; jumps; tracking control; model-free control (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-fmk
Note: View the original document on HAL open archive server: https://inria.hal.science/inria-00457222v1
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in [Research Report] 2010

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