A comparison of delta hedging under two price distribution assumptions by likelihood ratio
Year of publication: |
2012
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Authors: | Cao, Lingyan ; Guo, Zheng-feng |
Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 6.2012, 1, p. 25-34
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Subject: | likelihood ratio | Variance-Gamma | geometric Brownian motion | delta hedging | Theorie | Theory | Hedging | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model |
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