Browsing by Subject "Delta hedging"
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A note on delta hedging in markets with jumps
[OWP-2011-23] (Mathematisches Forschungsinstitut Oberwolfach, 2011-05-21)Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the Black–Merton–Scholes ...