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Optimal hedged portfolios: the case of jump-diffusion risks

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  • Park, Keehwan
  • Ahn, Chang Mo
  • Fujihara, Roger

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  • Park, Keehwan & Ahn, Chang Mo & Fujihara, Roger, 1993. "Optimal hedged portfolios: the case of jump-diffusion risks," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 493-510, October.
    • Handle: RePEc:eee:jimfin:v:12:y:1993:i:5:p:493-510
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    Cited by:

    1. Engel, Charles & Hakkio, Craig S, 1996. "The Distribution of Exchange Rates in the EMS," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(1), pages 55-67, January.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    3. Sandun Perera & Winston Buckley & Hongwei Long, 2018. "Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps," Annals of Operations Research, Springer, vol. 262(1), pages 213-238, March.
    4. Lin, Bing-Huei & Yeh, Shih-Kuo, 2001. "Estimation for factor models of term structure of interest rates with jumps: the case of the Taiwanese government bond market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 167-197, June.
    5. López-Herrera, Francisco & Rodríguez-Nava, Abigail & Venegas-Martínez, Francisco, 2011. "Efectos en las decisiones de consumo y portafolio del riesgo cambiario con discontinuidades," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Crecimiento y Desarrollo Económico en México, volume 1, chapter 12, pages 172-182, Escuela Superior de Economía, Instituto Politécnico Nacional.

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