Essays about: "Gustav Hallqvist"

Found 1 essay containing the words Gustav Hallqvist.

  1. 1. Hedging European options under a jump-diffusion model with transaction costs

    University essay from Göteborgs universitet/Graduate School

    Author : Simon Evaldsson; Gustav Hallqvist; [2014-07-23]
    Keywords : ;

    Abstract : This thesis investigates the performance of hedging strategies when the underlying asset is governed by Merton (1976)’s jump-diffusion model. We hedge a written European call option and analyse the performance through simulation of stock prices. READ MORE