Approximate Hedging of Options under Jump-Diffusion Processes
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- Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella, 2015. "Approximate Hedging Of Options Under Jump-Diffusion Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-26.
References listed on IDEAS
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Cited by:
- Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
- Guanghua Lian & Robert J. Elliott & Petko Kalev & Zhaojun Yang, 2022. "Approximate pricing of American exchange options with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 983-1001, June.
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Keywords
Incomplete markets; Jump-diffusion; Hedge portfolios; Compound Poisson processes; Integro-partial differential equation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2014-03-30 (Risk Management)
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