HEDGING OF OPTION IN JUMP-TYPE SEMIMARTINGALE ASSET MODEL

  • Oh, Jae-Pill (DEPARTMENT OF MATHEMATICS, KANGWEON NATIONAL UNIVERSITY)
  • Received : 2009.02.25
  • Accepted : 2009.05.14
  • Published : 2009.06.25

Abstract

Hedging strategy for European option of jump-type semimartingale asset model, which is derived from stochastic differential equation whose driving process is a jump-type semimartingle, is discussed.

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