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A Note on Delta Hedging in Markets with Jumps
Delta hedging exact replication martingale representation Black–Merton–Scholes model models with jumps
2011/3/30
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the...
Conservative delta hedging under transaction costs
super replication model-free hedging robust hedging model uncertainty transaction costs Leland’s strategy stable convergence
2011/3/30
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper...
Delta Hedging in Financial Engineering: Towards a Model-Free Approach
Financial engineering delta hedging
2010/10/20
Delta hedging, which plays a crucial r\^ole in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fli...
On the Performance of Delta Hedging Strategies in Exponential Lévy Models
Laplace transform approach mean-variance hedging delta hedging Lévy processes model misspecification
2010/11/3
We consider the performance of non-optimal hedging strategies in exponential Lévy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representa...