An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (Q2873539)
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scientific article; zbMATH DE number 6250080
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| English | An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs |
scientific article; zbMATH DE number 6250080 |
Statements
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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0.8107826709747314
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0.7869986891746521
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0.7857915759086609
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0.7837976813316345
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0.7827683091163635
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