Browsing Theses by Subject "hedging"
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Hedging in a Financial Market with Regime-Switching
(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
(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 ...