Wang, Xiao-Tian; Zhao, Zhong-Feng; Fang, Xiao-Fen - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 194-206
This paper is concerned in the option pricing and portfolio hedging in a discrete time incomplete market. It has been shown that scaling and residual risks as well as the mixed hedging strategy play an important role in option pricing and portfolio hedging in a discrete time case. In particular,...