TY - JOUR AU - Venegas Martínez, Francisco PY - 2001/07/01 Y2 - 2024/03/29 TI - Options, coverage and diffusion-jump processes: An application to GCARSO titles JF - Estudios Económicos de El Colegio de México JA - EE VL - 16 IS - 2 SE - Articles DO - 10.24201/ee.v16i2.204 UR - https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/204 SP - 203-226 AB - <p>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.</p><p>&nbsp;</p> ER -