An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

We introduce a jump-diffusion model for asset returns with jumps drawn from a mixture of normal distributions and show that this model adequately fits the historical data of the S&P500 index. We consider a delta-hedging strategy (DHS) for vanilla options under the diffusion model (DM) and the pr...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Quantitative finance 2012-07, Vol.12 (7), p.1119-1141
1. Verfasser:	Sepp, Artur
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Delta-hedging errors Discrete trading Hedging Jump risk Jump-diffusion model Normal distribution Parameters misspecification Profit & loss distribution Securities trading Studies Transaction costs Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!