Jump-diffusion Models: a Practitioner's Guide

By Peter Tankov, Ekaterina Voltchkova. 2009

88 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9654fc043333aa1874a4b1dfa9a527025f61f000

Citations in the corpus

• Robust risk measurement and model risk (2014, unknown): “Tankov and Voltchkova [42] study the best volatility parameter to use for delta hedging to minimize expected squared hedging error under a jump-diffusion model for the underlying asset.”