Option hedging for semimartingales
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References listed on IDEAS
- Bruss, F. T. & Rogers, L. C. G., 1991. "Pascal processes and their characterization," Stochastic Processes and their Applications, Elsevier, pages 331-338.
- Steutel, F. W., 1973. "Some recent results in infinite divisibility," Stochastic Processes and their Applications, Elsevier, pages 125-143.
- Arjas, Elja & Haara, Pentti & Norros, Ikka, 1992. "Filtering the histories of a partially observed marked point process," Stochastic Processes and their Applications, Elsevier, pages 225-250.
- R. Pillai, 1990. "On Mittag-Leffler functions and related distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, pages 157-161.
- Böker, Fred & Serfozo, Richard, 1983. "Ordered thinnings of point processes and random measures," Stochastic Processes and their Applications, Elsevier, pages 113-132.
- Bunge, J. A. & Nagaraja, H. N., 1991. "The distributions of certain record statistics from a random number of observations," Stochastic Processes and their Applications, Elsevier, pages 167-183.
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Keywordsoption hedging semimartingales R-minimality optimality equation minimal martingale measure continuous trading Black-Scholes model contingent claims incomplete markets;
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