Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)
Year of publication: |
2006
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Authors: | Tichý, Tomáš |
Published in: |
Czech Journal of Economics and Finance (Finance a uver). - Institut ekonomických studií, ISSN 0015-1920. - Vol. 56.2006, 7-8, p. 361-379
|
Publisher: |
Institut ekonomických studií |
Subject: | digital options | dynamic and static replication | internal time | Lévy models | replication error | stochastic environment | stochastic volatility | variance gamma process |
Extent: | application/pdf |
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Type of publication: | Article |
Language: | English |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G20 - Financial Institutions and Services. General ; D52 - Incomplete Markets ; C1 - Econometric and Statistical Methods: General |
Source: |
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