Preliminary remarks on option pricing and dynamic hedging

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying, like the existence of jumps, become then quite straightforward by incorporating them into the trends. Several convincing computer experiments are reported.

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Year of publication:	2012-08-29
Authors:	Fliess, Michel ; Join, Cédric
Institutions:	HAL
Subject:	Quantitative finance \| option pricing \| European option \| dynamic hedging \| replication \| arbitrage \| time series \| trends \| volatility \| abrupt changes \| model-free control \| nonstandard analysis

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal-polytechnique.archives-ouvertes.fr/hal-00705373 Published - Presented, 1st International Conference on Systems and Computer Science, 2012, Villeneuve d'Ascq, France
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010551681