Evaluating discrete dynamic strategies in affine models
Author:
Affiliation:
1. Dipartimento di Economia, Finanza e Statistica, University of Perugia, Perugia, Italy.
2. Dipartimento SEFeMeQ, University of Rome, Tor Vergata, Rome, Italy.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2011.637075
Reference31 articles.
1. Moment explosions in stochastic volatility models
2. Measuring the error of dynamic hedging: a Laplace transform approach
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4. Option valuation using the fast Fourier transform
5. OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNS
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