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A model-free approach to delta hedging

By Michel Fliess and Cédric Join

Abstract

See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.Delta hedging; trends; quick fluctuations; abrupt changes; jumps; tracking control; model-free control

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Citations

  1. (2007). i n r i a -0 , v e r s i o n
  2. (2008). Robust control approach to option pricing: a representation theorem and fast algorithm,