Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)
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References listed on IDEAS
- Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, June.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
"Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes,"
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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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