Tomo Matsusita, Ritsumeikan University

Static Hedging in supermarkets

Abstract: We  introduce a notion of supermarkets and show that in the
supermarkets there are plenty of assets and "static hedging " is
always possible. Typical examples are concerning Cox-Ross-Rubinstein's
binary markets and Black-Sholes markets.  Mathematically, expansions
with respect to exponential martingales play central roles.