Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model

DOI10.1007/978-3-319-45875-5_12zbMath1367.91175arXiv1603.03747OpenAlexW3125162936MaRDI QIDQ4976503

Aleš Černý

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03747

zbMATH Keywords

barrier optionLévy modelquadratic hedging

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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