QA495 : Hedging Option Pricing under Markovian Black-scholes Market
Thesis > Central Library of Shahrood University > Mathematical Sciences > MSc > 2018
Authors:
Morteza Zia Khaloo [Author], Elham Dastranj[Supervisor], Sayyed Mojtaba Mirlohi[Advisor]
Abstarct: In this thesis,we deal with markov markets that are priced according to the Black-Scholes model.taht is,their process to the equation below: dS_t=μ(X_t)S_t dt+σ(X_t)S_tdW_t where W_(t )the standardized and independent brainstorming process of the Markov chain and the parameters σ and μ respectively indicate dirift and turbulence of the market. In these types of markets,we are looking for a strategy that hedging the risk (so-called economists).
Keywords:
#Black-Scholes equations #Hedging option Pricing #jump-diffusion #Minimal martingale measure #Incomplete Markov markets Link
Keeping place: Central Library of Shahrood University
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