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q-fin.PR2012
Preliminary remarks on option pricing and dynamic hedging
Michel Fliess, Cédric Join
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 und…
q-fin.PR2010★ 7 cited
Delta Hedging in Financial Engineering: Towards a Model-Free Approach
Michel Fliess, Cédric Join
Delta hedging, which plays a crucial rôle in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financia…