Exact Solution of Discrete Hedging Equation for European Option

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dc.creatorYakovlev, D. E.
dc.creatorZhabin, D. N.
dc.date2003-09-29
dc.date.accessioned2026-07-07T12:07:14Z
dc.date.available2026-07-07T12:07:14Z
dc.descriptionThe approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for wide enough classes of distribution functions too. It is shown that there exists a nonzero possibility that market parameters can take values such that to realize the hedging policy becomes impossible. This fact is not in contradiction with Black-Scholes option price model as long as this possibility tends to zero at the limit of continuous hedging.
dc.description11 pages
dc.identifierhttps://arxiv.org/abs/math/0309457
dc.identifierhttp://arxiv.org/abs/math/0309457
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208897
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectPricing of Securities
dc.titleExact Solution of Discrete Hedging Equation for European Option
dc.typetext

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