A Locally Risk-Minimizing Hedging Strategy for Asian Options with Jumps

In this paper we consider the locally minimizing hedging problem for an Asian option with jumps. The financial market in this jump-diffusion model is incomplete in general and, hence, the equivalent martingale measure is not unique. Instead, a change of measure to the minimal martingale measure is performed. For this model, we calculate the density process of the minimal martingale measure as the risk-neutral pricing measure. We then construct a hedging strategy for the contingent claim in the locally risk-minimizing sense by a direct construction of the Föllmer-Schweizer decomposition.

並列關鍵字

Asian options with jumps ； Càdlàg semimartingale ； Poisson measure ； Lévy decomposition ； Minimal martingale measure ； Föllmer-Schweizer decomposition ； Locally risk-minimizing strategies

參考文獻

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被引用紀錄

Lin, H. J. (2006). 具跳躍亞式選擇權及相關財務問題之研究 [doctoral dissertation, National Central University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0031-0207200917335627

國際替代計量

A Locally Risk-Minimizing Hedging Strategy for Asian Options with Jumps

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