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dc.date.accessioned2013-03-12T08:17:46Z
dc.date.available2013-03-12T08:17:46Z
dc.date.issued2010en_US
dc.date.submitted2011-06-28en_US
dc.identifier.urihttp://hdl.handle.net/10852/10218
dc.description.abstractWe study the robustness of option prices to model variation within a jump-diffusion framework. In particular we consider models in which the small variations in price dynamics are modeled with a Poisson random measure with infinite activity and models in which these small variations are modeled with a Brownian motion. We show that option prices are robust. Moreover we study the computation of the deltas in this framework with two approaches, the Malliavin method and the Fourier method. We show robustness of the deltas to the model variationeng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleROBUSTNESS OF OPTION PRICES AND THEIR DELTAS IN MARKETS MODELLED BY JUMP-DIFFUSIONSen_US
dc.typeResearch reporten_US
dc.date.updated2012-01-19en_US
dc.creator.authorBenth, Fred Espenen_US
dc.creator.authorDi Nunno, Giuliaen_US
dc.creator.authorKhedher, Asmaen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28034en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo130895en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10218/1/pm02-10.pdf


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