Evaluating the hedging error in price processes with jumps present

DOI10.4310/SII.2013.v6.n4.a1zbMath1326.91025MaRDI QIDQ896579

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

Publication date: 10 December 2015

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

zbMATH Keywords

volatilityquadratic variationjump diffusionhedging strategyrealized bipower variationthreshold variationvariation of time

Mathematics Subject Classification ID

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

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