Local parametric analysis of hedging in discrete time

Journal of Econometrics

Volumn 81, Issue 1, 1997, Pages 243-272

  Bossaerts, Peter ^a   Hillion, Pierre ^b  

^a CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

^b INSEAD   (France)

Author keywords

Derivatives analysis; Local parametric estimation; Local volatility

Indexed keywords

EID: 0013273673     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00046-8     Document Type: Article

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