This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket , including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-2,
author = {Youssef El-Khatib and Nicolas Privault},
title = {Hedging in complete markets driven by normal martingales},
journal = {Applicationes Mathematicae},
volume = {30},
year = {2003},
pages = {147-172},
zbl = {1173.91364},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-2}
}
Youssef El-Khatib; Nicolas Privault. Hedging in complete markets driven by normal martingales. Applicationes Mathematicae, Tome 30 (2003) pp. 147-172. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-2/