University of Minnesota
School of Mathematics
School of Mathematics         Superposition of the cAMP wave (dark blue) and the cell streams.   IMA Public Lecture
    math.umn.edu / finmath / seminar / Materials / williamsAbstract
 

Option Replication and Model Risk

The relaxation of problematic Black-Scholes assumptions will be discussed with an eye toward the risks introduced in option replication. A simple comparison of hedging error using different stochastic processes will be explored.

 

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