Hedging in a market with jumps - an FBSDE approach
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💱 q-fin.PR
math.PR
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hedgingjumpsmarketfbsdepricesstockaccountsallows
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We propose a model for hedging in a market with jumps for a large investor. The dynamics of the stock prices and the value process is governed by forward-backward SDEs driven by Teugels martingales. Unlike known FBSDE market models, ours accounts for jumps in stock prices. Moreover, it allows to find an optimal hedging strategy.
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