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Conference papers
Preliminary remarks on option pricing and dynamic hedging
Abstract : 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.
Cited literature [37 references]
https://hal-polytechnique.archives-ouvertes.fr/hal-00705373
Contributor : Michel Fliess Connect in order to contact the contributor
Submitted on : Thursday, June 7, 2012 - 3:07:43 PM
Last modification on : Thursday, January 20, 2022 - 4:16:45 PM
Long-term archiving on: : Saturday, September 8, 2012 - 7:25:07 AM
Contributor : Michel Fliess Connect in order to contact the contributor
Submitted on : Thursday, June 7, 2012 - 3:07:43 PM
Last modification on : Thursday, January 20, 2022 - 4:16:45 PM
Long-term archiving on: : Saturday, September 8, 2012 - 7:25:07 AM
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pricing.hedging_2012.pdf
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