Pricing and hedging gap risk

DOI10.21314/JCF.2010.223zbMath1284.91555OpenAlexW3123004041MaRDI QIDQ5411502

Peter Tankov

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2010.223

zbMATH Keywords

gap riskLévy copulaquadratic hedgingexponential Lévy modelgap option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Constant proportion portfolio insurance in defined contribution pension plan management ⋮ Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading ⋮ The value of power-related options under spectrally negative Lévy processes

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