Preliminary remarks on option pricing and dynamic hedging

Michel Fliess; Cédric Join

hal-00705373, version 1

Preliminary remarks on option pricing and dynamic hedging

Michel Fliess ()^a^, 1, Cédric Join^b^, 2, 3

1st International Conference on Systems and Computer Science (2012) CDROM

Résumé : 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.

a – LIX - Ecole polytechnique
b – Centre de Recherche en Automatique de Nancy (CRAN)
1 : Laboratoire d'informatique de l'école polytechnique (LIX)
CNRS : UMR7161 – Polytechnique - X
2 : ALIEN (INRIA Saclay - Ile de France/Inria Lille - Nord Europe)
INRIA – Polytechnique - X – Ecole Centrale de Lille – CNRS : UMR8146
3 : Centre de Recherche en Automatique de Nancy (CRAN)
CNRS : UMR7039 – Université de Lorraine

hal-00705373, version 1
http://hal-polytechnique.archives-ouvertes.fr/hal-00705373
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Contributeur : Michel Fliess <>
Soumis le : Jeudi 7 Juin 2012, 15:07:43
Dernière modification le : Jeudi 7 Juin 2012, 16:19:08

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