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.
| Identifer | oai:union.ndltd.org:WATERLOO/oai:uwspace.uwaterloo.ca:10012/3294 |
| Date | 20 September 2007 |
| Creators | Kennedy, J. Shannon |
| Source Sets | University of Waterloo Electronic Theses Repository |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
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