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Title:

Robustness of option prices and their deltas in markets modeled by jump-diffusions

Document type:
Zeitschriftenaufsatz
Author(s):
Benth, F.E.; Di Nunno, G.; Khedher, A.
Abstract:
We 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 r...     »
Journal title:
Communications on Stochastic Analysis
Year:
2011
Journal volume:
5
Journal issue:
2
Pages contribution:
285–307
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
Format:
Text
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