Hedging Contingent Claims in Markets with Jumps

Hedging Contingent Claims in Markets with Jumps

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Contrary to the Black-Scholes paradigm, an option-pricing model which incorporates the possibility of jumps more accurately reflects the evolution of stocks in the real world. However, hedging a contingent claim in such a model is a non-trivial issue: in many cases, an infinite number of hedging ins...

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Main Author: Kennedy, J. Shannon
Language:en
Published: 2007
Subjects:
Applied Mathematics
Online Access:http://hdl.handle.net/10012/3294
id ndltd-WATERLOO-oai-uwspace.uwaterloo.ca-10012-3294
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spelling ndltd-WATERLOO-oai-uwspace.uwaterloo.ca-10012-32942013-01-08T18:50:41ZKennedy, J. Shannon2007-09-25T15:00:16Z2007-09-25T15:00:16Z2007-09-25T15:00:16Z2007-09-20http://hdl.handle.net/10012/3294Contrary to the Black-Scholes paradigm, an option-pricing model which incorporates the possibility of jumps more accurately reflects the evolution of stocks in the real world. However, hedging a contingent claim in such a model is a non-trivial issue: in many cases, an infinite number of hedging instruments are required to eliminate the risk of an option position. This thesis develops practical techniques for hedging contingent claims in markets with jumps. Both regime-switching and jump-diffusion models are considered.enHedging Contingent Claims in Markets with JumpsThesis or DissertationApplied MathematicsDoctor of PhilosophyApplied Mathematics
collection NDLTD
language en
sources NDLTD
topic Applied Mathematics
spellingShingle Applied Mathematics
Kennedy, J. Shannon
Hedging Contingent Claims in Markets with Jumps
description Contrary to the Black-Scholes paradigm, an option-pricing model which incorporates the possibility of jumps more accurately reflects the evolution of stocks in the real world. However, hedging a contingent claim in such a model is a non-trivial issue: in many cases, an infinite number of hedging instruments are required to eliminate the risk of an option position. This thesis develops practical techniques for hedging contingent claims in markets with jumps. Both regime-switching and jump-diffusion models are considered.
author Kennedy, J. Shannon
author_facet Kennedy, J. Shannon
author_sort Kennedy, J. Shannon
title Hedging Contingent Claims in Markets with Jumps
title_short Hedging Contingent Claims in Markets with Jumps
title_full Hedging Contingent Claims in Markets with Jumps
title_fullStr Hedging Contingent Claims in Markets with Jumps
title_full_unstemmed Hedging Contingent Claims in Markets with Jumps
title_sort hedging contingent claims in markets with jumps
publishDate 2007
url http://hdl.handle.net/10012/3294
work_keys_str_mv AT kennedyjshannon hedgingcontingentclaimsinmarketswithjumps
_version_ 1716572997077172224

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