# Robustness of Delta hedging in a jump-diffusion model

@article{Bosserhoff2019RobustnessOD, title={Robustness of Delta hedging in a jump-diffusion model}, author={Frank Bosserhoff and M. Stadje}, journal={arXiv: Mathematical Finance}, year={2019} }

Suppose an investor aims at Delta hedging a European contingent claim $h(S(T))$ in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivity, so that any hedging strategy is calculated under a misspecified model. When does the erroneously computed strategy super-replicate the true claim in an appropriate sense? If the misspecified volatility and jump sensitivity dominate the true ones, we show that following the misspecified Delta strategy does super… Expand

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