HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
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Publication:3161739
DOI10.1111/j.1467-9965.2010.00414.xzbMath1232.91678arXiv0801.4941MaRDI QIDQ3161739
Sofia C. Olhede, David A. Stephens, Wing Yan Yip
Publication date: 15 October 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.4941
hedging; Lévy process; exotic option; variance swap; moment swap; chaotic representation property; power jump asset
60G51: Processes with independent increments; Lévy processes
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
Related Items
Pricing and hedging contingent claims using variance and higher order moment swaps, The explicit chaotic representation of the powers of increments of Lévy processes
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