Efficient hedging for a complete jump-diffusion model
Year of publication: |
2002
|
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Authors: | Kirch, Michael ; Krutchenko, R. N. ; Melnikov, Aleksandr V. |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | Efficient hedging | Quantile Hedging | jump-diffusion | martingale Measure |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2002,27 |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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