Minimal Variance Hedging of Options with Student-t Underlying
classification
❄️ cond-mat.stat-mech
q-fin.ST
keywords
hedgingoptionsstudent-tunderlyingadditivebouchaudcallcase
read the original abstract
I explicitly work out closed form solutions for the optimal hedging strategies (in the sense of Bouchaud and Sornette) in the case of European call options, where the underlying is modeled by (unbiased) iid additive returns with Student-t distributions. The results may serve as illustrative examples for option pricing in the presence of fat tails.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.