Robustness of Delta Hedging in a Jump-Diffusion Model

DOI10.1137/22m149435xzbMath1520.91398arXiv1910.08946OpenAlexW2980606823MaRDI QIDQ6109913

Mitja Stadje, Frank Bosserhoff

Publication date: 4 July 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.08946

zbMATH Keywords

robustnessmisspecificationjump-diffusiondelta hedgegood-deal

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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