ABSTRACT
We develop here the method for quantile hedging in the framework of two-factor diffusion and jump-diffusion market models. We start from the Black-Scholes model studied in Paragraph 3.2 in efficient hedging aspects. So, we consider the model (see (3.29)): d S t i = S t i ( μ i d t + σ i d W t ) , i = 1 , 2 , t ≤ T . $$ dS_{t}^{i} = S_{t}^{i} (\mu _{i} dt + \sigma _{i} dW_{t} )~,~i = 1,~2,~t \le T . $$ https://s3-euw1-ap-pe-df-pch-content-public-p.s3.eu-west-1.amazonaws.com/9781315118505/6befe1c9-a2f5-4407-a7d2-aff70ef0dad0/content/math4_1.tif"/>
