Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597): Difference between revisions

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Latest revision as of 04:34, 14 July 2024

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Approximation of CVaR minimization for hedging under exponential-Lévy models
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    Approximation of CVaR minimization for hedging under exponential-Lévy models (English)
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    1 August 2017
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    conditional value-at-risk
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    exponential-Lévy models
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    incomplete market
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    Neyman-Pearson lemma
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    Esscher martingale measure
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    fast Fourier transform
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