Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Farzad Alavi Fard, Firmin Doko Tchatoka, Sivagowry Sriananthakumar
| 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 |