Model risk and discretisation of locally risk-minimising strategies
نویسندگان
چکیده
منابع مشابه
Model risk and discretisation of locally risk-minimising strategies
Abstract. We consider a price process model driven by jump-diffusion and study the discretisation and simulation of the related locally risk-minimizing strategy where we focus mainly on hedging Asian and spread options. Using the discretisation scheme and the convergence results on backward stochastic differential equations as studied in Khedher and Vanmaele [17], we show that the locally risk-...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2017
ISSN: 0377-0427
DOI: 10.1016/j.cam.2016.07.009