The European options hedge perfectly in a Poisson-Gaussian stock market model

It is shown that n + 1 European call options written on a stock S with different strike prices (or the stock and n calls) are non-redundant assets in a model for the stock driven by a Brownian motion and n independent Poisson processes. That extends the result obtained for n = 1 by Pham and implies that the proposed model can price and perfectly hedge any integrable derivative on S.

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Year of publication:	2002
Authors:	Mancini, C.
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 9.2002, 2, p. 87-102
Publisher:	Taylor & Francis Journals
Subject:	Jump-DIFFUSION Stock Model \| M-VARIATE Poisson Process \| Call Options \| Volatility Coefficients \| T-BASIS \| Total Convergence \| Completeness

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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