Browsing University of Waterloo by Author "Kennedy, J. Shannon"
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Hedging Contingent Claims in Markets with Jumps
Kennedy, J. Shannon (University of Waterloo, 2007-09-25)Contrary to the Black-Scholes paradigm, an option-pricing model which incorporates the possibility of jumps more accurately reflects the evolution of stocks in the real world. However, hedging a contingent claim in ...