Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
Year of publication: |
2004-10
|
---|---|
Authors: | Branger, Nicole ; Schlag, Christian |
Institutions: | Fachbereich Wirtschaftswissenschaft, Goethe Universität Frankfurt am Main |
Subject: | Stochastic jumps | market prices of risk | discrete trading | model mis-specification | hedging error |
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