An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

DOI10.1080/14697688.2010.494613zbMath1279.91167MaRDI QIDQ2873539

Artur Sepp

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.494613

zbMATH Keywords

transaction costs; jump risk; jump-diffusion model; discrete trading; delta-hedging errors; parameters misspecification; profit/loss distribution

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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