Korean Journal of Mathematics
- Volume 13 Issue 1
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- Pages.19-34
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- 2005
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- 1976-8605(pISSN)
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- 2288-1433(eISSN)
PRICING AND HEDGING OPTIONS IN AN EMPIRICAL ASSET MODEL
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Oh, Jae-Pill
(Division of Mathematics and Statistics Kangwon National University)
- Received : 2004.10.28
- Published : 2005.02.28
Abstract
Pricing and hedging strategy for European options of jump-type asset models, which are derived from a stochastic differential equations, are discussed.