A Model-Free Approach to Delta Hedging
Author | : Cédric Join |
Publisher | : |
Total Pages | : 0 |
Release | : 2010 |
ISBN-10 | : OCLC:1376403408 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book A Model-Free Approach to Delta Hedging written by Cédric Join and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We utilize the existence of trends for financial time series (Fliess M., Join C.: A Mathematical Proof of the Existence of Trends in Financial Time Series, http://ssrn.com/abstract=1459662) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes framework. Several convincing computer simulations are presented. Some of them are dealing with abrupt changes, i.e., jumps.