HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET (Q3161739): Difference between revisions
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Revision as of 10:59, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET |
scientific article |
Statements
HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET (English)
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15 October 2010
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Lévy process
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hedging
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exotic option
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variance swap
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power jump asset
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moment swap
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chaotic representation property
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