Evaluating the hedging error in price processes with jumps present

DOI10.4310/SII.2013.V6.N4.A1zbMATH Open1326.91025MaRDI QIDQ896579FDOQ896579

Authors: Zhi Liu, Bo Zhang, Bing-Yi Jing, Xin-Bing Kong 

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

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zbMATH Keywords

jump diffusionvolatilityquadratic variationhedging strategyrealized bipower variationthreshold variationvariation of time

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

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