References
- Applebaum, D. 2009. Lévy Processes and Stochastic Calculus. Second edition. New York: Cambridge University Press.
- Arai, T. 2005. “Some Remarks on Mean-Variance Hedging for Discontinuous Asset Price Processes.” International Journal of Theoretical and Applied Finance 8 (4): 425–443.
- Bensoussan, A. 1984. “On the Theory of Option Pricing.” Acta Applicandae Mathematicae 2: 139–158.
- Biagini, F., and B. Oksendal. 2006. “Minimal Variance Hedging for Insider Trading.” International Journal of Theoretical and Applied Finance 9 (8): 1351–1375.
- Black, F., and M. Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81: 637–659.
- Bouzianis, G., L. P. Hughston, S. Jaimungal and L. Sánchez-Betancourt. 2019. “Lévy-Ito Models in Finance.” ArXiv: 1907.08499.
- Černý, A., and J. Kallsen. 2007. “On the Structure of General Mean-Variance Hedging Strategies.” Annals of Probability 35 (4): 1479–1531.
- Cont, R., P. Tankov and E. Voltchkova. 2012. “Hedging with Options in Models with Jumps.” Abel Symposia on Stochastic Analysis and Applications 2: 197–217.
- Cox, J. C., S. A. Ross and M. Rubenstein. 1979. “Option Pricing: A Simplified Approach.” Journal of Financial Economics 7: 229–263.
- Delbaen, F., and W. Schachermayer. 1996. “The Variance-Optimal Martingale Measure for Continuous Processes.” Bernoulli 2: 81–105.
- Eberlein, E., and J. Kallsen. 2020. Mathematical Finance. Switzerland: Springer.
- Föllmer, H., and D. Sondermann. 1986. “Hedging of Nonredundant Contingent Claims.” In Contributions to Mathematical Economics, edited by W. Hildenbrand and A. Mas-Colell. Amsterdam: North-Holland.
- Gourieroux, C., J. P. Laurent, and H. Pham. 1998. “Mean-Variance Hedging and Numeraire.” Mathematical Finance 8: 179–200.
- Harrison, J. L., and S. R. Pliska. 1981. “Martingales and Stochastic Integrals in the Theory of Continuous Trading.” Stochastic Processes and Their Applications 11 (3): 215–260.
- Hubalek, F., J. Kallsen and L. Krawczyk. 1998. “Variance Optimal Hedging for Processes with Stationary Independent Increments.” Annals of Applied Probability 16 (2): 853–885.
- Jeanblanc, M., M. Yor and M. Chesney. 2009. Mathematical Models for Financial Markets. London: Springer.
- Lim, A. E. B. 1998. “Mean-Variance Hedging when there are Jumps.” SIAM Journal on Control and Optimization 44: 1893–1922.
- Merton, R. C. 1973. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science 4: 141–183.
- Oksendal, B., and A. Sulem. 1995. “Stochastic Control of Itô-Lévy Processes with Applications to Finance.” Communications on Stochastic Analysis 8 (1): 1–15.
- Pham, H. 2000. “On Quadratic Hedging in Continuous Time.” Mathematical Methods of Operations Research 51: 315–339.
- Sato, K. 1999. Lévy Processes and Infinitely Divisble Distributions. Cambridge, United Kingdom: Cambridge University Press.
- Schweizer, M. 2001. “A Guided Tour through Quadratic Hedging Approaches.” In Option Pricing, Interest Rates and Risk Management, edited by E. Jouini, J. Cvitanić and M. Musiela. Cambridge, United Kingdom: Cambridge University Press.