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

Takuji Arai, Yuto Imai

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

zbMATH Keywords

fast Fourier transformexponential Lévy modelslocal risk-minimizationdelta hedging strategy

Mathematics Subject Classification ID

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)

A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus ⋮ FFT-network for bivariate Lévy option pricing ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

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
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