NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS

DOI10.1142/S0219024916500084zbMath1337.91127arXiv1506.03898MaRDI QIDQ2800048

Yuto Imai, Ryoichi Suzuki, Takuji Arai

Publication date: 14 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.03898

zbMATH Keywords

fast Fourier transformlocal risk minimizationexponential Lévy processesMerton jump-diffusion processesvariance gamma processes

Mathematics Subject Classification ID

Related Items (7)

LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus ⋮ On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models ⋮ Local risk-minimization for Barndorff-Nielsen and Shephard models ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS ⋮ Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering ⋮ Comparison of local risk minimization and delta hedging strategy for exponential Lévy models

Cites Work

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• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
• Theory of stochastic differential equations with jumps and applications.
• Information on jump sizes and hedging
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing

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