Hedging of Options in Jump-Diffusion Markets with Correlated Assets

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Bakhshmohammadlou Minoo

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Advances in Mathematical Finance and Applications Year:2021 | Volume:6 | Issue:1 Page(s): 77-83

Download Full-Text

View:

134

Download:

138

Cites:

Information Journal Paper

Title

Hedging of Options in Jump-Diffusion Markets with Correlated Assets

Author(s)

Bakhshmohammadlou Minoo | Issue Writer Certificate

Keywords

Hedging option

Correlated assets

Locally Risk Minimizing approach

Residual risk

Abstract

We consider the hedging problem in a jump-diffusion market with Correlated assets. For this purpose, we employ the Locally Risk Minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk minimizing portfolio. In addition, we investigate the sensitivity of the risk with respect to the variation of correlation parameters, this enables us to select the more profitable portfolio. The results show that the risk increases, with increasing the correlation parameters. This means that to reduce risk it is necessary to invest in low Correlated assets.

Multimedia

No record.

Cites

No record.

References

No record.

Cite

APA: Copy

Bakhshmohammadlou, Minoo. (2021). Hedging of Options in Jump-Diffusion Markets with Correlated Assets. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, 6(1), 77-83. SID. https://sid.ir/paper/759484/en

Vancouver: Copy

Bakhshmohammadlou Minoo. Hedging of Options in Jump-Diffusion Markets with Correlated Assets. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS[Internet]. 2021;6(1):77-83. Available from: https://sid.ir/paper/759484/en

IEEE: Copy

Minoo Bakhshmohammadlou, “Hedging of Options in Jump-Diffusion Markets with Correlated Assets,” ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, vol. 6, no. 1, pp. 77–83, 2021, [Online]. Available: https://sid.ir/paper/759484/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops