Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)
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References listed on IDEAS
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
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- Tomáš Tichý, 2010.
"Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů
[Examination of Portfolio Currency Risk Estimation by Means of Lévy Models]," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 504-521.
More about this item
Keywordsdigital options; dynamic and static replication; internal time; Lévy models; replication error; stochastic environment; stochastic volatility; variance gamma process;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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