Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs (Q5001155)
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scientific article; zbMATH DE number 7372420
Language | Label | Description | Also known as |
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English | Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs |
scientific article; zbMATH DE number 7372420 |
Statements
Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs (English)
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16 July 2021
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nonlinear pay-off
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static replication
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equidistribution equation
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convergence rate
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jump-diffusion model
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