A closed-form solution for the global quadratic hedging of options under geometric Gaussian random walks
Year of publication: |
2019
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Authors: | Godin, Frédéric |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 26.2019, 3, p. 97-107
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Subject: | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Random Walk | Random walk |
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