DocumentCode
1965290
Title
Preliminary remarks on option pricing and dynamic hedging
Author
Fliess, Michel ; Join, Cedric
Author_Institution
LIX, Ecole Polytech., Palaiseau, France
fYear
2012
fDate
29-31 Aug. 2012
Firstpage
1
Lastpage
6
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.
Keywords
financial management; pricing; time series; computer experiments; dynamic hedging; elementary arbitrage principle; financial time series; option pricing; violent behaviors; European option; Quantitative finance; abrupt changes; arbitrage; dynamic hedging; model-free control; nonstandard analysis; option pricing; replication; time series; trends; volatility;
fLanguage
English
Publisher
ieee
Conference_Titel
Systems and Computer Science (ICSCS), 2012 1st International Conference on
Conference_Location
Lille
Print_ISBN
978-1-4673-0673-7
Electronic_ISBN
978-1-4673-0672-0
Type
conf
DOI
10.1109/IConSCS.2012.6502450
Filename
6502450
Link To Document