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~person:"Guo, Zheng-Feng"
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geometric Brownian motion
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Guo, Zheng-Feng
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A COMPARISON OF GRADIENT ESTIMATION TECHNIQUES FOR EUROPEAN CALL OPTIONS
Cao, Lingyan
;
Guo, Zheng-Feng
- In:
Accounting & Taxation
4
(
2012
)
1
,
pp. 75-81
Assuming the underlying assets follow a
Variance-Gamma
(VG) process, we consider the problem of estimating gradients of …
Persistent link: https://www.econbiz.de/10011212150
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2
A COMPARISON OF DELTA HEDGING UNDER TWO PRICE DISTRIBUTION ASSUMPTIONS BY LIKELIHOOD RATIO
Cao, Lingyan
;
Guo, Zheng-Feng
- In:
The International Journal of Business and Finance Research
6
(
2012
)
1
,
pp. 25-34
stock prices follows a geometric Brownian motion (GBM) or a
Variance-Gamma
(VG) process. We employ the maximum likelihood …
Persistent link: https://www.econbiz.de/10011206174
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