Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2007
chronologically. The principles and techniques of hedging and unique pricing are illustrated for the two simplest nontrivial examples … unique pricing, now for general homogenous payoff functions. Clarity is primed as the multivariate log-Gaussian and … option price function is highlighted. Equivalent martingale measures are utilized to show unique pricing with bounded deltas …