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Abstract: This paper aims to a uni ed treatment of hedging in market models driven by martingales with deterministic bracket hM;Mi t , including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate. Key words: Normal martingales, chaos representation property, hedging strategies,... (Update)
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BibTeX entry: (Update)
@misc{ and-hedging,
author = "Youssef El-Khatib And",
title = "Hedging in Complete Markets Driven By Normal Martingales",
url = "citeseer.ist.psu.edu/701312.html" }
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1 A generalized Clark representation formula with application .. (context) - Karatzas, Ocone - 1991
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