Computing efficient hedging strategies in discontinuous market models

Wolfgang J. Runggaldier () and Sara Di Emidio ()
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Wolfgang J. Runggaldier: Universitá di Padova, Dipartimento di Matematica Pura ed Applicata
Sara Di Emidio: Universitá di Padova, Dipartimento di Matematica Pura ed Applicata

Chapter 7 in Stochastic Finance, 2006, pp 197-212 from Springer

Abstract: Summary We consider the problem of finding efficient hedging strategies in market models where prices evolve along discontinuous trajectories as a random jump process. We base ourselves on results in [3], that are briefly summarized, and discuss relevant computational issues. Numerical results are also presented.

Keywords: Small Time Scale; Credit Derivative; Independent Poisson Process; Bayesian Point; Hedging Error (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-28359-3_7

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DOI: 10.1007/0-387-28359-5_7

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