Hedging of options in the presence of jump clustering
Donatien Hainaut and Franck Moraux
| Year of publication: |
2018
|
|---|---|
| Authors: | Hainaut, Donatien ; Moraux, Franck |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 3, p. 1-35
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| Subject: | self-excitation | Hawkes process | minimum variance hedging | options pricing | shot noise process | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.354 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011988188