Hedging Contingent Claims in Markets with Jumps
Contrary to the Black-Scholes paradigm, an option-pricing model which incorporates the possibility of jumps more accurately reflects the evolution of stocks in the real world. However, hedging a contingent claim in such a model is a non-trivial issue: in many cases, an infinite number of hedging ins...
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| Language: | en |
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2007
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| Online Access: | http://hdl.handle.net/10012/3294 |
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