APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES
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Publication:5265239
DOI10.1142/S0219024915500247zbMath1337.91107MaRDI QIDQ5265239
Karl Friedrich Mina, Carl Chiarella, Gerald H. L. Cheang
Publication date: 23 July 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Related Items (2)
Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
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