An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (Q2873539): Difference between revisions

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An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
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    An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (English)
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    24 January 2014
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    delta-hedging errors
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    profit/loss distribution
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    discrete trading
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    transaction costs
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    parameters misspecification
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    jump-diffusion model
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    jump risk
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