Information on jump sizes and hedging

Cited 2 time in webofscience Cited 0 time in scopus
  • Hit : 613
  • Download : 0
DC FieldValueLanguage
dc.contributor.authorKang, Wan-Moko
dc.contributor.authorLee, Kiseopko
dc.date.accessioned2015-04-06T05:34:59Z-
dc.date.available2015-04-06T05:34:59Z-
dc.date.created2014-12-01-
dc.date.created2014-12-01-
dc.date.created2014-12-01-
dc.date.issued2014-11-
dc.identifier.citationSTOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, v.86, no.6, pp.889 - 905-
dc.identifier.issn1744-2508-
dc.identifier.urihttp://hdl.handle.net/10203/194660-
dc.description.abstractWe study a hedging problem in a market where traders have various levels of information. The exclusive information available only to informed traders is modelled by a diffusion process rather than discrete arrivals of new information. The asset price follows a jump-diffusion process and an information process affects jump sizes of the asset price. We find the local risk minimization hedging strategy of informed traders. Numerical examples as well as their comparison with the Black-Scholes strategy are provided via Monte Carlo.-
dc.languageEnglish-
dc.publisherTAYLOR & FRANCIS LTD-
dc.titleInformation on jump sizes and hedging-
dc.typeArticle-
dc.identifier.wosid000343664800004-
dc.identifier.scopusid2-s2.0-84908202990-
dc.type.rimsART-
dc.citation.volume86-
dc.citation.issue6-
dc.citation.beginningpage889-
dc.citation.endingpage905-
dc.citation.publicationnameSTOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES-
dc.identifier.doi10.1080/17442508.2014.895356-
dc.contributor.localauthorKang, Wan-Mo-
dc.contributor.nonIdAuthorLee, Kiseop-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorinformation asymmetry-
dc.subject.keywordAuthorhedging-
dc.subject.keywordAuthorincomplete market-
dc.subject.keywordAuthorthe local risk minimization-
dc.subject.keywordAuthor62P05-
dc.subject.keywordAuthor60H30-
dc.subject.keywordAuthor91B28-
dc.subject.keywordAuthorinformation asymmetry-
dc.subject.keywordAuthorhedging-
dc.subject.keywordAuthorincomplete market-
dc.subject.keywordAuthorthe local risk minimization-
dc.subject.keywordAuthor62P05-
dc.subject.keywordAuthor60H30-
dc.subject.keywordAuthor91B28-
dc.subject.keywordPlusRISK MINIMIZATION-
dc.subject.keywordPlusINSIDER-
dc.subject.keywordPlusMODEL-
dc.subject.keywordPlusDECOMPOSITION-
dc.subject.keywordPlusRISK MINIMIZATION-
dc.subject.keywordPlusINSIDER-
dc.subject.keywordPlusMODEL-
dc.subject.keywordPlusDECOMPOSITION-
Appears in Collection
MA-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 2 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0