HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
From MaRDI portal
Publication:3161739
DOI10.1111/j.1467-9965.2010.00414.xzbMath1232.91678arXiv0801.4941OpenAlexW3125896473MaRDI QIDQ3161739
Sofia C. Olhede, David A. Stephens, Wing Yan Yip
Publication date: 15 October 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.4941
hedgingLévy processexotic optionvariance swapmoment swapchaotic representation propertypower jump asset
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items
Pricing and hedging contingent claims using variance and higher order moment swaps, The explicit chaotic representation of the powers of increments of Lévy processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Calibration and hedging under jump diffusion
- Complete markets with discontinuous security price
- Taylor series based finite difference approximations of higher-degree derivatives
- Föllmer-Schweizer decomposition and mean-variance hedging for general claims
- Moment swaps
- Martingale Representation of Functionals of Lévy Processes