Jumping hedges on the strength of the Mellin transform
With more looming uncertainties in our present financial climate and environment, models with jump–diffusion more than ever are necessary. They are suited to reproduce the large and sudden fluctuations in the level of the underlying variable, and mimic various statistical properties in observed time...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier B.V.
2022
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |