Open AccessAPPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES
Author(s) -
Karl Mina,
Gerald H. L. Cheang,
Carl Chiarella
Publication year - 2015
Publication title -
international journal of theoretical and applied finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.469
H-Index - 35
eISSN - 1793-6322
pISSN - 0219-0249
DOI - 10.1142/s0219024915500247
Subject(s) - hedge , portfolio , jump diffusion , stochastic game , econometrics , economics , replicating portfolio , valuation of options , asset (computer security) , jump , mathematical economics , financial economics , computer science , portfolio optimization , ecology , physics , computer security , quantum mechanics , biology
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