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HEDGING OF OPTION IN JUMP-TYPE SEMIMARTINGALE ASSET MODEL

  • Oh, Jae-Pill
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.13 no.2
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    • pp.87-100
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    • 2009
  • Hedging strategy for European option of jump-type semimartingale asset model, which is derived from stochastic differential equation whose driving process is a jump-type semimartingle, is discussed.

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