Options, coverage and diffusion-jump processes: An application to GCARSO titles

  • Francisco Venegas Martínez Oxford University
Keywords: GCARSO shares
JEL Classification: G10


We present two models for hedging European options on an underlying asset driven by a mixed diffusion-jump process. The first model, values the option as the average of option prices hedging sequential jumps. In the second model, the option price is determined by minimizing the variance of the portfolio value. In particular, we develop hedging strategies for the case of GCARSO shares.



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How to Cite
Venegas MartínezF. (2001). Options, coverage and diffusion-jump processes: An application to GCARSO titles. Estudios Económicos, 16(2), 203-226. https://doi.org/10.24201/ee.v16i2.204
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