Delta-hedging Strategy in Jump-Diffusion Model

• ITO SHO

  Department of Systems Engineering, The University of Electro-Communications

• MIYAZAKI KOICHI

  Department of Systems Engineering, The University of Electro-Communications

Bibliographic Information

Other Title

• ジャンプ拡散過程に基づくオプションのデルタヘッジ

Journal

• 情報処理学会研究報告. MPS, 数理モデル化と問題解決研究報告

  情報処理学会研究報告. MPS, 数理モデル化と問題解決研究報告 62 17-20, 2006-12-21

Details

• CRID: 1571698600342297856
• NII Article ID: 10018689713
• NII Book ID: AN10505667
• ISSN: 09196072
• Text Lang: ja
• Data Source:
  • CiNii Articles