Information on jump sizes and hedging

DOI10.1080/17442508.2014.895356zbMath1337.62328OpenAlexW2078140838MaRDI QIDQ2811114

Wanmo Kang, Kiseop Lee

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.895356

zbMATH Keywords

hedgingincomplete marketinformation asymmetrylocal risk minimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Informed traders' hedging with news arrivals ⋮ Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS

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