Construction and hedging of optimal payoffs in Lévy models (Q4976508)
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scientific article; zbMATH DE number 6754929
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| English | Construction and hedging of optimal payoffs in Lévy models |
scientific article; zbMATH DE number 6754929 |
Statements
Construction and Hedging of Optimal Payoffs in Lévy Models (English)
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31 July 2017
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cost efficient payoffs
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Lévy model
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delta hedging
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Esscher measure
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0.895610511302948
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0.8404632806777954
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0.7919944524765015
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0.7580814957618713
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0.7468461394309998
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