Hedging of Options in Jump-Diffusion Markets with Correlated Assets
We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, indepen...
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| Format: | Article |
| Language: | English |
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Islamic Azad University of Arak
2021-01-01
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| Series: | Advances in Mathematical Finance and Applications |
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| Online Access: | http://amfa.iau-arak.ac.ir/article_674270_eab61833c3e0afe14562cbc72ed68e1d.pdf |