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文章基本信息

  • 标题:The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution
  • 本地全文:下载
  • 作者:Gigel Busca 1 , Emmanuel Haven 2 , Franck Jovanovic 3 , Christophe Schinckus
  • 期刊名称:Theoretical Economics Letters
  • 印刷版ISSN:2162-2078
  • 电子版ISSN:2162-2086
  • 出版年度:2014
  • 卷号:04
  • 期号:09
  • 页码:760-766
  • DOI:10.4236/tel.2014.49096
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:In financial option pricing, the stable Lévy framework is a problematic issue because of its (theoretical) infinite invariance. This paper deals with the integration of these processes into option pricing by defining the minimal theoretical condition required for an optimal risk hedging based on a stable Lévy framework with an exponentially truncated distribution.
  • 关键词:Hedge Ratio; Lévy Stable Distribution; Exponentially Truncated Distribution; Econophysics
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