Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Year of publication: |
September 2015
|
---|---|
Authors: | Fard, Farzad Alavi ; Doko Tchatoka, Firmin ; Sriananthakumar, Sivagowry |
Publisher: |
Adelaide : School of Economics, University of Adelaide |
Subject: | Generalised Jump | kernel biased | Asymptotic Hedging Error | Esscher Transform | Maximum Entropy Density | Value-at-Risk | Expected Shortfall | Optionsgeschäft | Option trading | Hedging | Risikomaß | Risk measure | Statistischer Fehler | Statistical error | Entropie | Entropy | Theorie | Theory |
-
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi, (2021)
-
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi, (2021)
-
Adam, Michael, (2001)
- More ...
-
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi, (2021)
-
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi, (2021)
-
Fard, Farzad Alavi, (2013)
- More ...