Efficient hedging in general Black-Scholes model
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- Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xi-Li & Wang, Ying-Luo, 2010. "Pricing currency options in a fractional Brownian motion with jumps," Economic Modelling, Elsevier, vol. 27(5), pages 935-942, September.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2013-08-31 (Risk Management)
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