On the performance of delta hedging strategies in exponential Lévy models (Q5397451)
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scientific article; zbMATH DE number 6260399
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| English | On the performance of delta hedging strategies in exponential Lévy models |
scientific article; zbMATH DE number 6260399 |
Statements
On the performance of delta hedging strategies in exponential Lévy models (English)
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20 February 2014
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Laplace transform approach
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mean-variance hedging
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delta hedging
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Lévy processes
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model misspecification
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European-style contingent claim
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0.8504989743232727
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0.8425319790840149
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0.8290234208106995
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0.8003492951393127
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0.7918830513954163
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