Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors
Year of publication: |
2004
|
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Authors: | Branger, Nicole ; Schlag, Christian |
Publisher: |
Frankfurt a. M. : Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |
Subject: | Optionspreistheorie | Hedging | Stochastischer Prozess | Theorie | Stochastic jumps | market prices of risk | discrete trading | model mis-specification | hedging error |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 474584321 [GVK] hdl:10419/23405 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing |
Source: |
-
Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
Branger, Nicole, (2004)
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When are Static Superhedging Strategies Optimal?
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Efficient hedging for a complete jump-diffusion model
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