OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS (Q5422628)
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scientific article; zbMATH DE number 5205653
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS |
scientific article; zbMATH DE number 5205653 |
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OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS (English)
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29 October 2007
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hedging error
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Fourier transform
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mean-variance hedging
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locally optimal strategy
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exponential Lévy process
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incomplete market
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option pricing
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