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Volatility-invariant hedging

โœ Scribed by Sherrill Shaffer

Book ID
116100674
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
171 KB
Volume
29
Category
Article
ISSN
0165-1765

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The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381-392] where they incorporate long-memory s