Construction and hedging of optimal payoffs in Lévy models

DOI10.1007/978-3-319-45875-5_16MaRDI QIDQ4976508zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

delta hedgingEsscher measureLévy modelcost efficient payoffs

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• An explicit option-based strategy that outperforms dollar cost averaging
• Comparison of Markovian price processes and optimality of payoffs
• On the Method of Optimal Portfolio Choice by Cost-Efficiency
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• On the optimal risk allocation problem
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Optimal claims with fixed payoff structure
• Optimal payoffs under state-dependent preferences
• Optimality of payoffs in Lévy models
• Tracking errors from discrete hedging in exponential Lévy models

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
• scientific article; zbMATH DE number 5980856 (Why is no real title available?)
• Comparison of Markovian price processes and optimality of payoffs
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• Optimality of payoffs in Lévy models

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