Hedging error estimate of the american put option problem in jump-diffusion processes
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DOI: 10.2298/fil1808813h
Abstract: We consider discrete time hedging error of the American put option in case of brusque fluctuations in the price of assets. Since continuous time hedging is not possible in practice so we consider discrete time… read more here.
Keywords: hedging error; time; time hedging; put option ... See more keywords