离散条件下标的资产带跳的德尔塔对冲误差研究

he paper deals with the problem of discrete–time delta hedging and discrete-time option valuation by the Black–Scholes model with Poisson-Jump. Since in the Black–Scholesmodel the hedging is co-ntinuous, hedging errors appear when applied to discrete trading.The hedging error is considered and a discrete-time adjusted Black–Scholes equation with Poisson-Jump is derived and more accurate del-ta values dependent on the length of the rebalancing intervals can be obtained.