@inproceedings{926fcafcea00474497941dfaebdb039e,
title = "Hedging with options in models with jumps",
abstract = "We consider the problem of hedging a contingent claim, in a market where prices of traded assets can undergo jumps, by trading in the underlying asset and a set of traded options. We give a general expression for the hedging strategy which minimizes the variance of the hedging error, in terms of integral representations of the options involved. This formula is then applied to compute hedge ratios for common options in various models with jumps, leading to easily computable expressions. The performance of these hedging strategies is assessed through numerical experiments.",
keywords = "Barrier option, Integro-differential equations, L{\'e}vy process, Markov processes with jumps, Option pricing, Quadratic hedging",
author = "Rama Cont and Peter Tankov and Ekaterina Voltchkova",
year = "2007",
month = jan,
day = "1",
doi = "10.1007/978-3-540-70847-6\_8",
language = "English",
isbn = "3540708464",
series = "Stochastic Analysis and Applications: The Abel Symposium 2005 - Proceedings of the 2nd Abel Symposium, Held in Honor of Kiyosi Ito",
publisher = "Springer Verlag",
pages = "197--217",
booktitle = "Stochastic Analysis and Applications",
note = "2nd Abel Symposium 2005: Stochastic Analysis and Applications ; Conference date: 29-07-2005 Through 04-08-2005",
}