On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
DOI10.1007/s13160-017-0268-6zbMath1386.91133arXiv1610.09085OpenAlexW2543932547WikidataQ115601124 ScholiaQ115601124MaRDI QIDQ1684777
Publication date: 12 December 2017
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.09085
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (3)
Cites Work
- Canonical Lévy process and Malliavin calculus
- NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS
- Comparison of local risk minimization and delta hedging strategy for exponential Lévy models
- On the performance of delta hedging strategies in exponential Lévy models
- Unnamed Item
- Unnamed Item
This page was built for publication: On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models