Evaluating the hedging error in price processes with jumps present

DOI10.4310/SII.2013.V6.N4.A1MaRDI QIDQ896579zbMATH OpenFDO

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)

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)

Recommendations

• scientific article; zbMATH DE number 5227619
• Asymptotic analysis of hedging errors in models with jumps
• Quantification of model risk in quadratic hedging in finance
• scientific article; zbMATH DE number 2169328
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH

This page was built for publication: Evaluating the hedging error in price processes with jumps present

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896579)