Opciones, cobertura y procesos de difusión con saltos: una aplicación a los títulos de GCARSO
We present two models for hedging European options on an underlying asset driven by a mixed diffusion-jump process. The first model, values the option as the average of option prices hedging sequential jumps. In the second model, the option price is determined by minimizing the variance of the portf...
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| 格式: | Online |
| 語言: | 西班牙语 |
| 出版: |
El Colegio de México, A.C.
2001
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| 主題: | |
| 在線閱讀: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/204 |
| 機構: |
Estudios Económicos |