Model dependency of the digital option replication - Replication under an incomplete model
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Authors
Tichý, Tomáš
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Publisher
Univerzita Karlova. Fakulta sociálních věd
Location
Ve fondu ÚK
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Subject(s)
digital options, dynamic and static replication, internal time, Levy models, replication error, stochastic environment, stochastic volatility, variance gamma process
Citation
Finance a úvěr. 2006, roč. 56, č. 7-8, s. 361-379.