Calibration and hedging under jump diffusion

Review of Derivatives Research

Volumn 9, Issue 1, 2006, Pages 1-35

  He, C ^a   Kennedy, J S ^b   Coleman, T F ^b   Forsyth, P A ^c   Li, Y ^c   Vetzal, K R ^b  

^a JP Morgan Chase & Co   (United States)

^b UNIVERSITY OF WATERLOO   (Canada)

^c UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Calibration; Dynamic hedging; Jump diffusion; Static hedging

Indexed keywords

EID: 33846842280     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11147-006-9003-1     Document Type: Article

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