Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19
In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options … derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a … number of very important processes in finance. We then obtain an estimation for the distribution of hedging error by …
