Hedging of European type contingent claims in discrete time binomial market models

Jarek Kędra, Assaf Libman, Victoria Steblovskaya

Research output: Working paperPreprint

Abstract

We consider a discrete-time binomial model of a market consisting of m≥1 risky securities and one bond. For a European type contingent claim we give an explicit formula for the minimum-cost maximal hedging strategy.
Original languageEnglish
PublisherArXiv
Number of pages10
Publication statusPublished - 7 Jan 2023

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