• A note on delta hedging in markets with jumps 

      [OWP-2011-23] Mijatović, Aleksandar; Urusov, Mikhail A. (Mathematisches Forschungsinstitut Oberwolfach, 2011-05-21)
      Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the Black–Merton–Scholes ...