Delta hedging in discrete time under stochastic interest rate
نویسندگان
چکیده
منابع مشابه
Delta hedging in discrete time under stochastic interest rate
One of the most discussed assumptions of financial models, especially criticized in periods of financial turmoils, is that of market completeness, that is the perfect replication of any contingent claim by a suitable dynamic trading strategy. Theoretically, this is often achieved by ruling out any market imperfection, like illiquidity, credit risks, transactions costs, taxes, etc and by assumin...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2014
ISSN: 0377-0427
DOI: 10.1016/j.cam.2013.06.022