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.

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. [10.1142/s0219024900000553]

Hedging strategy with Langevin evolution

ROTUNDO, Giulia;TIROZZI, Benedetto
2000

Abstract

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.
2000
langevin equation; hedging strategy; market data
01 Pubblicazione su rivista::01a Articolo in rivista
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. [10.1142/s0219024900000553]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/29684
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