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College of Natural Sciences(자연과학대학)Dept. of Mathematical Sciences(수리과학과)MA-Journal Papers(저널논문)

Information on jump sizes and hedging

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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.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.description.isOpenAccessN-
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.keywordPlusRISK MINIMIZATION-
dc.subject.keywordPlusINSIDER-
dc.subject.keywordPlusMODEL-
dc.subject.keywordPlusDECOMPOSITION-
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MA-Journal Papers(저널논문)
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