ORCID Profile
0000-0003-3786-0285
Current Organisation
University of South Australia
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Publisher: Elsevier BV
Date: 06-2000
Publisher: Springer International Publishing
Date: 2014
Publisher: Elsevier BV
Date: 2012
DOI: 10.2139/SSRN.2167155
Publisher: WORLD SCIENTIFIC
Date: 10-2012
Publisher: Informa UK Limited
Date: 02-09-2014
Publisher: Elsevier BV
Date: 08-2010
Publisher: Informa UK Limited
Date: 03-09-2015
Publisher: World Scientific Pub Co Pte Lt
Date: 06-2015
DOI: 10.1142/S0219024915500247
Abstract: We consider the problem of hedging a European-type option in a market where asset prices have jump-diffusion dynamics. It is known that markets with jumps are incomplete and that there are several risk-neutral measures one can use to price and hedge options. In order to address these issues, we approximate such a market by discretizing the jumps in an averaged sense, and complete it by including traded options in the model and hedge portfolio. Under suitable conditions, we get a unique risk-neutral measure, which is used to determine the option price integro-partial differential equation, along with the asset positions that will replicate the option payoff. Upon implementation on a particular set of stock and option prices, our approximate complete market hedge yields easily computable asset positions that equal those of the minimal variance hedge, while at the same time offers protection against upward jumps and higher profit compared to delta hedging.
Publisher: Informa UK Limited
Date: 07-2011
Publisher: Informa UK Limited
Date: 26-09-2019
Publisher: Informa UK Limited
Date: 16-06-2022
Publisher: Informa UK Limited
Date: 02-2013
No related grants have been discovered for Gerald Cheang.