Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of CVaR minimization for hedging under exponential-Lévy models |
scientific article |
Statements
Approximation of CVaR minimization for hedging under exponential-Lévy models (English)
0 references
1 August 2017
0 references
conditional value-at-risk
0 references
exponential-Lévy models
0 references
incomplete market
0 references
Neyman-Pearson lemma
0 references
Esscher martingale measure
0 references
fast Fourier transform
0 references
0 references
0 references
0 references
