Hedging with options in models with jumps

Stochastic Analysis and Applications: The Abel Symposium 2005 - Proceedings of the 2nd Abel Symposium, Held in Honor of Kiyosi Ito

Volumn , Issue , 2007, Pages 197-217

  Cont, Rama ^a   Tankov, Peter ^b   Voltchkova, Ekaterina ^c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b UNIVERSITÉ PARIS DESCARTES   (France)

^c TOULOUSE SCHOOL OF ECONOMICS   (France)

Author keywords

Barrier option; Integro differential equations; L vy process; Markov processes with jumps; Option pricing; Quadratic hedging

Indexed keywords

COSTS; INTEGRODIFFERENTIAL EQUATIONS; INVESTMENTS; MARKOV PROCESSES; STOCHASTIC SYSTEMS;

BARRIER OPTION; CONTINGENT CLAIMS; GENERAL EXPRESSION; HEDGING STRATEGIES; INTEGRAL REPRESENTATION; NUMERICAL EXPERIMENTS; OPTION PRICING; QUADRATIC HEDGING;

COMMERCE;

EID: 84883650875     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-540-70847-6_8     Document Type: Conference Paper

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