A model-free approach to delta hedging

Michel Fliess 1, 2 Cédric Join 2, 3
1 LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau]
2 ALIEN - Algebra for Digital Identification and Estimation
Inria Lille - Nord Europe, Inria Saclay - Ile de France, Ecole Centrale de Lille, X - École polytechnique, CNRS - Centre National de la Recherche Scientifique : UMR8146
3 CRAN - Centre de Recherche en Automatique de Nancy
Abstract : See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.
Keywords : Delta hedging trends quick fluctuations abrupt changes jumps tracking control model-free control
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Reports
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https://hal.inria.fr/inria-00457222
Contributor : Michel Fliess <>
Submitted on : Tuesday, February 16, 2010 - 6:14:36 PM
Last modification on : Wednesday, March 27, 2019 - 4:41:26 PM
Long-term archiving on : Friday, June 18, 2010 - 6:24:37 PM

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Michel Fliess, Cédric Join. A model-free approach to delta hedging. [Research Report] 2010. ⟨inria-00457222⟩

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