The optimal hedge ratio in option pricing : the case of exponentially truncated Lévy stable distribution
Gigel Busca; Emmanuel Haven; Franck Jovanovic; Christophe Schinckus
| Year of publication: |
2014
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|---|---|
| Authors: | Busca, Gigel ; Haven, Emmanuel ; 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
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| Subject: | Hedge Ratio | Lévy Stable Distribution | Exponentially Truncated Distribution | Econophysics | Statistische Verteilung | Statistical distribution | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Ökonophysik | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010531252