Hedging The Risk In The Continuous Time Option Pricing Model With Stochastic Stock Volatility

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dc.creatorWang, D. F.
dc.date1998-07-04
dc.date.accessioned2026-07-07T12:07:08Z
dc.date.available2026-07-07T12:07:08Z
dc.descriptionIn this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order for the theory to be self-consistent. The replicating methods in existing finance literature are shown to violate the self-financing constraint when the underlying asset has stochastic volatility. Correct self-financing hedge is formed in this article.
dc.description8 pages, Revtex style
dc.identifierhttps://arxiv.org/abs/cond-mat/9807066
dc.identifierhttp://arxiv.org/abs/cond-mat/9807066
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208864
dc.subjectStatistical Mechanics
dc.subjectPricing of Securities
dc.titleHedging The Risk In The Continuous Time Option Pricing Model With Stochastic Stock Volatility
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