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

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  • Jarek Kk{e}dra
  • Assaf Libman
  • Victoria Steblovskaya

Abstract

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

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  • Jarek Kk{e}dra & Assaf Libman & Victoria Steblovskaya, 2023. "Hedging of European type contingent claims in discrete time binomial market models," Papers 2301.02912, arXiv.org.
    • Handle: RePEc:arx:papers:2301.02912
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    File URL: http://arxiv.org/pdf/2301.02912
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