NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS (Q2800048): Difference between revisions
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| Property / arXiv ID: 1506.03898 / rank | |||
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| Property / cites work: Information on jump sizes and hedging / rank | |||
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| Property / cites work: The Variance Gamma Process and Option Pricing / rank | |||
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| Property / cites work: Theory of stochastic differential equations with jumps and applications. / rank | |||
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Latest revision as of 18:47, 11 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS |
scientific article |
Statements
NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS (English)
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14 April 2016
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local risk minimization
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fast Fourier transform
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exponential Lévy processes
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Merton jump-diffusion processes
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variance gamma processes
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