# A Note on Delta Hedging in Markets with Jumps

@article{Mijatovi2011ANO, title={A Note on Delta Hedging in Markets with Jumps}, author={Aleksandar Mijatovi{\'c} and Mikhail Urusov}, journal={ERN: Econometric Modeling in Financial Economics (Topic)}, year={2011} }

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 model where it perfectly replicates contingent claims. From the theoretical viewpoint, there is no reason for this to hold in models with jumps. However in practice the delta-hedging strategy is widely used and its potential shortcoming in models with jumps is disregarded…

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