l*******3
发帖数: 186 | 1 option里怎么hedge price jump，volatility jump？谢谢！ | r**a
发帖数: 536 | 2 I do not know the exact answer. For me, what you need to do is to assume a
model of underlying with jumping and assume a hedge via underlying and some
liquid options and calculate the hedging error and minimize it to get the
optimal hedging. It is my naive idea, not sure it is practical or not.
【在 l*******3 的大作中提到】
: option里怎么hedge price jump，volatility jump？谢谢！
| l*******3
发帖数: 186 | 3 thanks da xia! :)
some
【在 r**a 的大作中提到】
: I do not know the exact answer. For me, what you need to do is to assume a
: model of underlying with jumping and assume a hedge via underlying and some
: liquid options and calculate the hedging error and minimize it to get the
: optimal hedging. It is my naive idea, not sure it is practical or not.
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