The optimal hedge ratio in option pricing : the case of exponentially truncated Lévy stable distribution
Year of publication: |
2014
|
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Authors: | Busca, Gigel ; Haven, Emmanuel E. ; Jovanovic, Franck ; Schinckus, Christophe |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 4.2014, 9, p. 760-766
|
Subject: | Hedge Ratio | Lévy Stable Distribution | Exponentially Truncated Distribution | Econophysics | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process |
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