Carr, Peter; Wu, Liuren - EconWPA - 2004
We consider the hedging of options when the price of the underlying asset is always exposed to the possibility of jumps … hedge in the presence of jumps cannot be improved upon by increasing the rebalancing frequency. In contrast, the superior … empirical support for the existence of jumps of random size in the movement of the S&P 500 index. We also find that the …
