Hedging Contingent Claims in Markets with Jumps
| dc.contributor.author | Kennedy, J. Shannon | |
| dc.date.accessioned | 2007-09-25T15:00:16Z | |
| dc.date.available | 2007-09-25T15:00:16Z | |
| dc.date.issued | 2007-09-25T15:00:16Z | |
| dc.date.submitted | 2007-09-20 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/10012/3294 | |
| dc.language.iso | en | en |
| dc.pending | false | en |
| dc.publisher | University of Waterloo | en |
| dc.subject.program | Applied Mathematics | en |
| dc.title | Hedging Contingent Claims in Markets with Jumps | en |
| dc.type | Doctoral Thesis | en |
| uws-etd.degree | Doctor of Philosophy | en |
| uws-etd.degree.department | Applied Mathematics | en |
| uws.peerReviewStatus | Unreviewed | en |
| uws.scholarLevel | Graduate | en |
| uws.typeOfResource | Text | en |