Hedging in a market with jumps - an FBSDE approach

Evelina Shamarova and Rui S\'a Pereira

Papers from arXiv.org

Abstract: We propose a model for hedging in a market with jumps for a large investor. The dynamics of the stock prices and the value process is governed by forward-backward SDEs driven by Teugels martingales. Unlike known FBSDE market models, ours accounts for jumps in stock prices. Moreover, it allows to find an optimal hedging strategy.

Date: 2013-09, Revised 2017-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.2211

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