A comparison of delta hedging under two price distribution assumptions by likelihood ratio
Lingyan Cao; Zheng-Feng Guo
| Year of publication: |
2012
|
|---|---|
| Authors: | Cao, Lingyan ; Guo, Zheng-feng |
| Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 6.2012, 1, p. 25-34
|
| Subject: | likelihood ratio | Variance-Gamma | geometric Brownian motion | delta hedging | Hedging | Theorie | Theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009389689