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| HAL: hal-00705373, version 1 |
| arXiv: 1206.1504 |
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| 1st International Conference on Systems and Computer Science, Villeneuve d'Ascq : France (2012) |
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| Preliminary remarks on option pricing and dynamic hedging |
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| Michel Fliess 1Cédric Join 2, 3 |
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| (2012-08-29) |
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| An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying, like the existence of jumps, become then quite straightforward by incorporating them into the trends. Several convincing computer experiments are reported. |
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| 1: | Laboratoire d'informatique de l'école polytechnique (LIX) |
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CNRS : UMR7161 – Polytechnique - X |
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| 2: | ALIEN (INRIA Saclay - Ile de France/Inria Lille - Nord Europe) |
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INRIA – Polytechnique - X – Ecole Centrale de Lille – CNRS : UMR8146 |
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| 3: | Centre de Recherche en Automatique de Nancy (CRAN) |
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CNRS : UMR7039 – Université de Lorraine |
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| Subject | : | Quantitative Finance/Computational Finance Quantitative Finance/Risk Management Mathematics/Logic Mathematics/Probability Mathematics/Statistics Statistics/Statistics Theory Computer Science/Automatic Control Engineering Computer Science/Signal and Image Processing Engineering Sciences/Signal and Image processing |
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| Quantitative finance – option pricing – European option – dynamic hedging – replication – arbitrage – time series – trends – volatility – abrupt changes – model-free control – nonstandard analysis. |
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| hal-00705373, version 1 | |
| http://hal-polytechnique.archives-ouvertes.fr/hal-00705373 | |
| oai:hal-polytechnique.archives-ouvertes.fr:hal-00705373 | |
| From: Michel Fliess | |
| Submitted on: Thursday, 7 June 2012 15:07:43 | |
| Updated on: Thursday, 7 June 2012 16:19:08 | |
