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dc.contributor.authorColeman, Thomas F.en_US
dc.contributor.authorKim, Yohanen_US
dc.contributor.authorLi, Yuyingen_US
dc.contributor.authorVerma, Arunen_US
dc.date.accessioned2007-04-02T21:18:22Z
dc.date.available2007-04-02T21:18:22Z
dc.date.issued2003-01-23en_US
dc.identifier.citationhttp://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.tc/2003-276en_US
dc.identifier.urihttps://hdl.handle.net/1813/5450
dc.description.abstractWe compare the dynamic hedging performance of the deterministic local volatility function approach with the implied/constant volatility method. Using an example in which the underlying price follows an absolute diffusion process, we illustrate that hedge parameters computed from the implied/constant volatility method can have significant error even though the implied volatility method is able to calibrate the current option prices of different strikes and maturities. In particular the delta hedge parameter produced by the implied/constant volatility method is consistently significantly larger than that of the exact delta when the underlying price follows an absolute diffusion.en_US
dc.format.extent287227 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_USen_US
dc.publisherCornell Universityen_US
dc.subjecttheory centeren_US
dc.titleDynamic Hedging with a Deterministic Local Volatility Function Modelen_US
dc.typetechnical reporten_US


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