Minimal Variance Hedging of Options with Student-t Underlying
نویسنده
چکیده
I explicitly work out closed form solutions for the optimal hedging strategies (in the sense of Bouchaud and Sornette) in the case of European call options, where the underlying is modeled by (unbiased) iid additive returns with Student-t distributions. The results may serve as illustrative examples for option pricing in the presence of fat tails.
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تاریخ انتشار 1999