Does model misspecification matter for hedging? : a computational finance experiment based approach
Year of publication: |
2015
|
---|---|
Authors: | Sun, Youfa ; Yuan, George ; Guo, Shimin ; Liu, Jianguo ; Yuan, Steven |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 3, p. 1-21
|
Subject: | Option pricing | double Heston model | COS method | delta hedging | dynamic hedging | implied volatility surface | Experiment | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
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