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A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models

A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models
Paper文書・図像類
Takahashi, Akihiko, Yamazaki, Akira日本経済国際共同センター2008-06Discussion paper series. CIRJE-FCIRJE-F-567
Other Libraries in Japan
  • Subject HeadingStatic Hedging Stochastic Volatility Markovian Projection Plain Vanilla Option Heston Model

Efficient Static Replication of European Options under Exponential Levy Models

Efficient Static Replication of European Options under Exponential Levy Models
Paper文書・図像類
Takahashi, Akihiko, Yamazaki, Akira日本経済国際共同センター2008-01Discussion paper series. CIRJE-FCIRJE-F-539
Other Libraries in Japan
  • Subject HeadingStatic Replication Exponential L´evy Model Fourier Transform Method Plain Vanilla Option CGMY Model

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