Construction and hedging of optimal payoffs in Lévy models
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Publication:4976508
DOI10.1007/978-3-319-45875-5_16zbMATH Open1367.91170OpenAlexW2558882853MaRDI QIDQ4976508FDOQ4976508
Authors: Ludger Rüschendorf, Viktor Wolf 
Publication date: 31 July 2017
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_16
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Cited In (7)
- Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
- Cost-efficiency in multivariate Lévy models
- A note on the suboptimality of path-dependent pay-offs in Lévy markets
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- Mean square error for the Leland-Lott hedging strategy: convex pay-offs
- Comparison of Markovian price processes and optimality of payoffs
- Optimality of payoffs in Lévy models
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