文章基本信息

标题：The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution
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作者：Gigel Busca 1 , Emmanuel Haven 2 , Franck Jovanovic 3 , Christophe Schinckus
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2014
卷号：04
期号：09
页码：760-766
DOI：10.4236/tel.2014.49096
语种：English
出版社：Scientific Research Publishing
摘要：In financial option pricing, the stable Lévy framework is a problematic issue because of its (theoretical) infinite invariance. This paper deals with the integration of these processes into option pricing by defining the minimal theoretical condition required for an optimal risk hedging based on a stable Lévy framework with an exponentially truncated distribution.
关键词：Hedge Ratio; Lévy Stable Distribution; Exponentially Truncated Distribution; Econophysics