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Option pricing and hedge portfolios for poisson progresses

 

作者: Robert J. Elliott,   P. Ekkehard Kopp,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1990）
卷期: Volume 8, issue 2  

页码: 157-167

 

ISSN:0736-2994

 

年代: 1990

 

DOI:10.1080/07362999008809204

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

Price processes influenced by Poisson processes are considered and the value of a sum of European call options obtained. The novel feature of the paper is the use of analogues of strochastic flows to derive a martingale representation resut and the heding portfolio

 

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