Download This PaperSelf-Financing Trading and the Ito-Doeblin Lemma
3 Pages Posted: 13 Jan 2015
Date Written: January 11, 2015
Abstract
The objective of the note is to remind readers on how self-financing works in Quantitative Finance. The authors have observed continuing uncertainty on this issue which may be because it lies exactly at the intersection of stochastic calculus and finance. The concept of a self-financing trading strategy was originally, and carefully, introduced in (Harrison and Kreps 1979) and expanded very generally in (Harrison and Pliska 1981).
Keywords: self-financing trading strategy; stochastic calculus; finance; hedging
JEL Classification: A22, A23, G12, G13
Suggested Citation: Suggested Citation
Kenyon, Chris and Green, Andrew David, Self-Financing Trading and the Ito-Doeblin Lemma (January 11, 2015). Available at SSRN: https://ssrn.com/abstract=2548676 or http://dx.doi.org/10.2139/ssrn.2548676
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