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Conference papers

Preliminary remarks on option pricing and dynamic hedging

Michel Fliess 1 Cédric Join 2, 3 
2 ALIEN - Algebra for Digital Identification and Estimation
Inria Lille - Nord Europe, Inria Saclay - Ile de France, Centrale Lille, X - École polytechnique, CNRS - Centre National de la Recherche Scientifique : UMR8146
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.
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Submitted on : Thursday, June 7, 2012 - 3:07:43 PM
Last modification on : Friday, February 4, 2022 - 3:14:54 AM
Long-term archiving on: : Saturday, September 8, 2012 - 7:25:07 AM


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  • HAL Id : hal-00705373, version 1
  • ARXIV : 1206.1504



Michel Fliess, Cédric Join. Preliminary remarks on option pricing and dynamic hedging. 1st International Conference on Systems and Computer Science, Aug 2012, Villeneuve d'Ascq, France. pp.CDROM. ⟨hal-00705373⟩



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