Anzeige
Erschienen in:
2011 | OriginalPaper | Buchkapitel
Completeness and Hedging in a Lévy Bond Market
verfasst von : José M. Corcuera
Erschienen in: Stochastic Analysis with Financial Applications
Verlag: Springer Basel
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
In this paper we analyze the completeness problem in a bond market where the short rate is driven by a non-homogeneous Lé process. Even though it is known that under certain conditions we have a kind of uniqueness of the risk neutral measure, little is known about how to hedge in this market. We elucidate that perfect replication formulas are not, in general, possible to obtain and an approximate hedging, in an L2 sense, is then the appropriate approach.