In recent years there has been much attention paid to pricing and hedging models that are more general than the Black and Scholes' one, whose hypotheses often aren't satisfied by the true market data. Sato and Takayasu proposed a market model that can produce price fluctuations with infinite variance from a deterministic behaviour of many market's dealers as it emerged from their simulations.
|Titolo:||Hedging strategy with Langevin evolution|
|Data di pubblicazione:||2000|
|Citazione:||Hedging strategy with Langevin evolution / S., Mariani; Rotundo, Giulia; Tirozzi, Benedetto. - In: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. - ISSN 0219-0249. - 03:03(2000), pp. 553-556.|
|Appare nella tipologia:||01a Articolo in rivista|