Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation

DOI10.4208/eajam.010116.220516azbMath1422.91771OpenAlexW2502614020WikidataQ58941486 ScholiaQ58941486MaRDI QIDQ5372053

Minseok Park, Geon Ho Choe, Kyungsub Lee

Publication date: 23 October 2017

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.010116.220516a

zbMATH Keywords

transaction costjump-diffusion modeldiscrete tradingprofit and loss distributionDelta-hedging errors

Mathematics Subject Classification ID

Related Items (1)

COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS

Cites Work

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• A new computational tool for analysing dynamic hedging under transaction costs
• Financial Modelling with Jump Processes
• APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES
• Option pricing when underlying stock returns are discontinuous

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