Analysis of Hedging Profits Under Two Stock Pricing Models
نویسندگان
چکیده
منابع مشابه
Analysis of Hedging Profits under Two Stock Pricing Models
In this paper, we employ two stock pricing models: a Black-Scholes (BS) model and a Variance Gamma (VG) model, and apply the maximum likelihood method (MLE) to estimate corresponding parameters in each model. With the estimated parameters, we conduct Monte Carlo simulations to simulate spot prices and deltas of the European call option at different time spots over different sample paths. We foc...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2011
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2011.13015