Now showing items 1-2 of 2

    • Hedging in a Financial Market with Regime-Switching 

      Gomes, Adam Daniel (University of Waterloo, 2021-10-06)
      It is well-known that in the complete standard financial market model driven solely by Brownian motion, one can always hedge a given contingent claim starting from an appropriate initial wealth. In other words, there always ...
    • A Simplified Method for Hedging Jump Diffusions 

      Xiao, Wenjie (University of Waterloo, 2010-12-23)
      Geometric Brownian Motion (GBM) and has been widely used in the Black Scholes option-pricing framework to model the return of assets. However, many empirical investigations show that market returns have higher peaks and ...

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