Option pricing and perfect hedging on correlated stocks
| dc.creator | Perello, Josep | |
| dc.creator | Masoliver, Jaume | |
| dc.date | 2000-12-01 | |
| dc.date | 2001-12-04 | |
| dc.date.accessioned | 2026-07-07T07:36:44Z | |
| dc.date.available | 2026-07-07T07:36:44Z | |
| dc.description | We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time tau. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed expression for the European call price which is always lower than Black-Scholes price. We also obtain a partial differential equation for the option price and study the sensitivity to several parameters and the risk of the dynamics of the call price. | |
| dc.description | 36 pages, 8 figures, 2 tables | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0012014 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0012014 | |
| dc.identifier | Physica A 330, 622-652 (2003) | |
| dc.identifier | doi:10.1016/S0378-4371(03)00619-8 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/120528 | |
| dc.subject | Condensed Matter | |
| dc.subject | Physics and Society | |
| dc.title | Option pricing and perfect hedging on correlated stocks | |
| dc.type | text |