On the performance of delta hedging strategies in exponential Lévy models (Q5397451): Difference between revisions
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Revision as of 23:20, 19 March 2024
scientific article; zbMATH DE number 6260399
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the performance of delta hedging strategies in exponential Lévy models |
scientific article; zbMATH DE number 6260399 |
Statements
On the performance of delta hedging strategies in exponential Lévy models (English)
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20 February 2014
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Laplace transform approach
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mean-variance hedging
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delta hedging
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Lévy processes
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model misspecification
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European-style contingent claim
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