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| Title: | Hedging Contingent Claims in Markets with Jumps |
| Authors: | Kennedy, J. Shannon |
| Approved Date: | 25-Sep-2007 |
| Date Submitted: | 20-Sep-2007 |
| Abstract: | Contrary to the
Black-Scholes paradigm,
an option-pricing model which incorporates the possibility of
jumps
more
accurately reflects the
evolution of stocks in the real world.
However, hedging a contingent claim
in such a model is a non-trivial issue: in many cases, an infinite
number of hedging instruments are required to eliminate the
risk of an option position.
This thesis develops practical techniques for hedging contingent claims in
markets with jumps. Both regime-switching and
jump-diffusion models are considered. |
| Program: | Applied Mathematics |
| Department: | Applied Mathematics |
| Degree: | Doctor of Philosophy |
| URI: | http://hdl.handle.net/10012/3294 |
| Appears in Collections: | Electronic Theses and Dissertations (UW)
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