Calibration and hedging under jump diffusion
نویسندگان
چکیده
منابع مشابه
Dynamic Hedging Under Jump Diffusion with Transaction Costs
If the price of an asset follows a jump diffusion process, the market is in general incomplete. In this case, hedging a contingent claim written on the asset is not a trivial matter, and other instruments besides the underlying must be used to hedge in order to provide adequate protection against jump risk. We devise a dynamic hedging strategy that uses a hedge portfolio consisting of the under...
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ژورنال
عنوان ژورنال: Review of Derivatives Research
سال: 2007
ISSN: 1380-6645,1573-7144
DOI: 10.1007/s11147-006-9003-1