An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
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- Lin, X. Sheldon & Wu, Panpan & Wang, Xiao, 2016. "Move-based hedging of variable annuities: A semi-analytic approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 40-49.
- Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
- repec:eee:jbfina:v:82:y:2017:i:c:p:180-190 is not listed on IDEAS
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