Option Pricing with Given Risk Constraints and Its Application to Life Insurance Contracts
This paper presents a method for hedging in markets of two-factor diffusion and jump diffusion models under the restriction of a specified probability of success. In addition, a method for hedging with a given shortfall amount is developed. A maximal perfect hedging set is constructed for options in...
| Published in: | AppliedMath |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-03-01
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| Subjects: | |
| Online Access: | https://www.mdpi.com/2673-9909/5/1/25 |