Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597)
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scientific article; zbMATH DE number 6755387
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| English | Approximation of CVaR minimization for hedging under exponential-Lévy models |
scientific article; zbMATH DE number 6755387 |
Statements
Approximation of CVaR minimization for hedging under exponential-Lévy models (English)
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1 August 2017
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conditional value-at-risk
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exponential-Lévy models
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incomplete market
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Neyman-Pearson lemma
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Esscher martingale measure
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fast Fourier transform
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0.8212110996246338
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0.798362672328949
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0.797980785369873
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0.7923864722251892
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0.791014552116394
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