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Hedging 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Time 1 Zeit 1
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Free 1
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Book / Working Paper 1
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English 1
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Denkl, Stephan 1 Kallsen, Jan 1 Černý, Aleš 1
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arXiv preprint 1309.7833 1
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ECONIS (ZBW) 1
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Hedging in Lévy models and the time step equivalent of jumps
Černý, Aleš; Denkl, Stephan; Kallsen, Jan - 2021
We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy model is well approximated by the risk taken from the discrete-time Black-Scholes model whose time step equals half of the excess kurtosis rate of the real-world stock returns....
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