Hedging in a market with jumps - an FBSDE approach
Pricing of Securities
2017-08-31 v2 Probability
Abstract
We propose a model for hedging in a market with jumps for a large investor. The dynamics of the stock prices and the value process is governed by forward-backward SDEs driven by Teugels martingales. Unlike known FBSDE market models, ours accounts for jumps in stock prices. Moreover, it allows to find an optimal hedging strategy.
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Cite
@article{arxiv.1309.2211,
title = {Hedging in a market with jumps - an FBSDE approach},
author = {Evelina Shamarova and Rui Sá Pereira},
journal= {arXiv preprint arXiv:1309.2211},
year = {2017}
}
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