Hedging of European type contingent claims in discrete time binomial market models

Jarek Kędra; Assaf Libman; Victoria Steblovskaya

Hedging of European type contingent claims in discrete time binomial market models

Jarek Kędra
, Assaf Libman
, Victoria Steblovskaya

Mathematical Science

Bentley University

Research output: Working paper › Preprint

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Abstract

We consider a discrete-time binomial model of a market consisting of m≥1 risky securities and one bond. For a European type contingent claim we give an explicit formula for the minimum-cost maximal hedging strategy.

Original language	English
Publisher	ArXiv
Number of pages	10
Publication status	Published - 7 Jan 2023

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2301.02912v1Submitted manuscript, 172 KB

http://arxiv.org/abs/2301.02912v1

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M3 - Preprint

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Hedging of European type contingent claims in discrete time binomial market models

Abstract

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Cite this