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Document Details : Title: Hedging by Sequential Regression Subtitle: An Introduction to the Mathematics of Option Trading Author(s): FÖLLMER, H. , SCHWEIZER, M. Journal: ASTIN Bulletin Volume: 18 Issue: 2 Date: November 1988 Pages: 147-160 DOI: 10.2143/AST.18.2.2014948 Abstract : It is widely acknowledged that there has been a major break through in the mathematical theory of option trading. This breakthrough, which is usually summarized by the Black-Scholes formula, has generated a lot of excitement and a certain mystique. On the mathematical side, it involves advanced probabilistic techniques from martingale theory and stochastic calculus which are accessible only to a small group of experts with a degree of mathematical sophistication; hence the mystique. In its practical implications it offers exciting prospects. Its promise is that, by a suitable choice of a trading strategy, the risk involved in handling an option can be eliminated completely. |
