Publications: Hedging in financial markets
Abstract
This expository paper describes the importance
of hedging to the pricing of modern financial products
and how hedging may be achieved even when the
traditional Black-Scholes assumptions are
absent.
This paper was delivered at a meeting on
Financial Mathematics and Derivatives
at the International Centre for Mathematical Science
in Edinburgh on 21 January 1997
- 1. Overview
- 2. Static hedging
- 3. Simple hedging
- 4. Black-Scholes
- 5. Option-hedging
- 6. Superhedging
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