Browsing Mathematics (Faculty of) by Author "Xiao, Wenjie"
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A Simplified Method for Hedging Jump Diffusions
Xiao, Wenjie (University of Waterloo, 2010-12-23)Geometric Brownian Motion (GBM) and has been widely used in the Black Scholes option-pricing framework to model the return of assets. However, many empirical investigations show that market returns have higher peaks and ...