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)
volatilityquadratic variationjump diffusionhedging strategyrealized bipower variationthreshold variationvariation of time
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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