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초록
Hedging strategy for European option of jump-type semimartingale asset model, which is derived from stochastic differential equation whose driving process is a jump-type semimartingle, is discussed.
키워드
SDE; European option; trading strategy; hedging of option
- 제목
- HEDGING OF OPTION IN JUMP-TYPE SEMIMARTINGALE ASSET MODEL
- 저자
- 오재필
- 발행일
- 2009-06
- 유형
- Y
- 권
- 13
- 호
- 2
- 페이지
- 87 ~ 100