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Abstract: This report surveys important results in the literature on the problem of hedging contingent claims in incomplete markets. Consider a probability , P ) and let X be a stochastic process describing the fluctuation of the stock price. Given a contingent claim H , the problem is to find an "optimal" admissible trading strategy, which is a dynamic porfolio of stock and bond (with fixed price), that can almost surely achieve the value H at some terminal time T (Update)
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BibTeX entry: (Update)
@misc{ nguyen-hedging,
author = "XuanLong Nguyen",
title = "Hedging of Contingent Claims in Incomplete Markets",
url = "citeseer.ist.psu.edu/nguyen02hedging.html" }
Citations (may not include all citations):294 Brownian Motion and Stochastic Calculus (context) - Karatzas, Shreve - 1988
159 Theory of rational option pricing (context) - Merton - 1973
141 Martingales and Arbitrage in Multiperiod Securities Markets (context) - Harrison, Kreps - 1979
53 Hedging of contingent claims under incomplete information (context) - Follmer, Schweizer - 1990
29 Hedging of non-redundant contingent claims (context) - Follmer, Sondermann - 1986
12 Option hedging for semimartingales (context) - Schweizer - 1991
1 The pricing of options and corportate liabilities (context) - Black, Scholes - 1973
1 Stat250 Lecture Notes (context) - Evans - 2002
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