Title of article :
Minimal variance hedging of options with student-t underlying
Author/Authors :
Klaus Pinn، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
I explicitly work out closed form solutions for the optimal hedging strategies (in the sense of Bouchaud and Sornette) in the case of European call options, where the underlying is modeled by (unbiased) iid additive returns with the Student-t distributions. The results may serve as illustrative examples for option pricing in the presence of fat tails.
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications