Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs

Title:	Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
Authors:	Ma, J Deng, D Zheng, H
Item Type:	Journal Article
Issue Date:	2-Sep-2015
Date of Acceptance:	16-Apr-2015
URI:	http://hdl.handle.net/10044/1/32510
DOI:	http://dx.doi.org/10.1080/14697688.2015.1046397
ISSN:	1469-7696
Publisher:	Taylor and Francis
Start Page:	593
End Page:	603
Journal / Book Title:	Quantitative Finance
Volume:	16
Issue:	4
Copyright Statement:	© 2015 Taylor & Francis. This is an Author's Accepted Manuscript of an article published in Quantitative Finance, Volume 16, Issue 4, available online at: http://dx.doi.org/10.1080/14697688.2015.1046397
Keywords:	Social Sciences Science & Technology Physical Sciences Business, Finance Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods Business & Economics Mathematics Mathematical Methods In Social Sciences G C6 G1 G12 C C63 Jump-diffusion model Nonlinear pay-off Convergence rate Static replication Equidistribution equation EQUIDISTRIBUTING MESHES OPTION PRICES REPLICATION DERIVATIVES MODELS Finance 01 Mathematical Sciences 15 Commerce, Management, Tourism And Services 14 Economics
Publication Status:	Published
Appears in Collections:	Financial Mathematics Faculty of Natural Sciences Mathematics