Dynamic hedging with a deterministic local volatility function model
نویسندگان
چکیده
منابع مشابه
Dynamic Hedging With a Deterministic Local Volatility Function Model
We compare the dynamic hedging performance of the deterministic local volatility function approach with the implied/constant volatility method. Using an example in which the underlying price follows an absolute diffusion process, we illustrate that hedge parameters computed from the implied/constant volatility method can have significant error even though the implied volatility method is able t...
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ژورنال
عنوان ژورنال: The Journal of Risk
سال: 2001
ISSN: 1465-1211
DOI: 10.21314/jor.2001.054