The European options hedge perfectly in a Poisson-Gaussian stock market model

C. Mancini

Applied Mathematical Finance, 2002, vol. 9, issue 2, 87-102

Abstract: It is shown that n + 1 European call options written on a stock S with different strike prices (or the stock and n calls) are non-redundant assets in a model for the stock driven by a Brownian motion and n independent Poisson processes. That extends the result obtained for n = 1 by Pham and implies that the proposed model can price and perfectly hedge any integrable derivative on S.

Keywords: Jump-DIFFUSION Stock Model; M-VARIATE Poisson Process; Call Options; Volatility Coefficients; T-BASIS; Total Convergence; Completeness (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1080/13504860210148241

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