Dynamic complex hedging in additive markets

被引：1
作者：
Corcuera, Jose M. [1 ]
Guerra, Joao M. E. [2 ]
机构：
[1] Univ Barcelona, E-08007 Barcelona, Spain
[2] CEMAPRE, P-1200 Lisbon, Portugal
来源：
QUANTITATIVE FINANCE | 2010年 / 10卷 / 09期
关键词：
Incomplete markets; Mathematics of finance; Derivatives hedging; Insider trading; Exotic options; Levy process; Optimization; Portfolio optimization;
D O I：
10.1080/14697680902960234
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In general, geometric additive models are incomplete and the perfect replication of derivatives, in the usual sense, is not possible. In this paper we complete the market by introducing the so-called power-jump assets. Using a static hedging formula, in order to relate call options and power-jump assets, we show that this market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity.
引用
收藏
页码：1023 / 1037
页数：15
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