Evaluating the hedging error in price processes with jumps present (Q896579)
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scientific article; zbMATH DE number 6518701
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| default for all languages | No label defined |
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| English | Evaluating the hedging error in price processes with jumps present |
scientific article; zbMATH DE number 6518701 |
Statements
Evaluating the hedging error in price processes with jumps present (English)
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10 December 2015
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hedging strategy
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threshold variation
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realized bipower variation
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quadratic variation
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volatility
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jump diffusion
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variation of time
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0.7793318033218384
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0.7770223021507263
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0.7637487053871155
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