HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET (Q3161739): Difference between revisions

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@@ Property / arXiv ID: 0801.4941 / rank @@
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+Complete markets with discontinuous security price
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+Calibration and hedging under jump diffusion
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+Taylor series based finite difference approximations of higher-degree derivatives
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+Martingale Representation of Functionals of Lévy Processes
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+Föllmer-Schweizer decomposition and mean-variance hedging for general claims
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+Moment swaps
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