Abstract
Here we review some applications to mathematical finance of the tools in- troduced in the previous chapters. We construct a market model with jumps in which exponential normal martingales are used to model random prices. We obtain pricing and hedging formulas for contingent claims, extending the classical Black-Scholes theory to other complete markets with jumps.
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© 2009 Springer-Verlag Berlin Heidelberg
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Privault, N. (2009). Option Hedging in Continuous Time. In: Stochastic Analysis in Discrete and Continuous Settings. Lecture Notes in Mathematics(), vol 1982. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02380-4_9
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DOI: https://doi.org/10.1007/978-3-642-02380-4_9
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-02379-8
Online ISBN: 978-3-642-02380-4
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