Approximation of CVaR minimization for hedging under exponential-Lévy models

DOI10.1016/J.CAM.2017.05.005zbMATH Open1367.91201OpenAlexW2587652230WikidataQ115581077 ScholiaQ115581077MaRDI QIDQ2012597FDOQ2012597

Authors: Madalina Deaconu, Antoine Lejay, Khaled Salhi 

Publication date: 1 August 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-01461215/file/cvar-hedging-exp-levy.pdf

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zbMATH Keywords

incomplete marketNeyman-Pearson lemmafast Fourier transformconditional value-at-riskEsscher martingale measureexponential-Lévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cited In (4)

• Explicit formulas for the minimal variance hedging strategy in a martingale case
• Trade and currency options hedging model
• Title not available (Why is that?)
• CVaR-minimising hedging by a smoothing method

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