Efficient hedging in general Black-Scholes model

zbMath1309.91140arXiv1308.6387MaRDI QIDQ5246001

Myong-Guk Sin, Kyong-Hui Kim

Publication date: 17 April 2015

Full work available at URL: https://arxiv.org/abs/1308.6387

zbMATH Keywords

Black-Scholes modeltime-varying coefficientsefficient hedgingEuropean call optionfractional Black-Scholes model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Efficient hedging currency options in fractional Brownian motion model with jumps ⋮ RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function ⋮ Pricing options under stochastic volatility jump model: a stable adaptive scheme ⋮ A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options

This page was built for publication: Efficient hedging in general Black-Scholes model