The European options hedge perfectly in a Poisson-Gaussian stock market model
It is shown that n + 1 European call options written on a stock S with different strike prices (or the stock and n calls) are non-redundant assets in a model for the stock driven by a Brownian motion and n independent Poisson processes. That extends the result obtained for n = 1 by Pham and implies that the proposed model can price and perfectly hedge any integrable derivative on S.
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Volume (Year): 9 (2002)
Issue (Month): 2 ()
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References listed on IDEAS
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