Robustness of quadratic hedging strategies in finance via Fourier transforms

DOI10.1016/J.CAM.2015.09.005MaRDI QIDQ898933zbMATH OpenOpenAlexFDO

Authors Catherine Daveloose, Asma Khedher, Michèle Vanmaele

Publication date 21 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.09.005

zbMATH Keywords

optionsrobustness[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Fourier transformsquadratic hedging

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

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• When does convergence of asset price processes imply convergence of option prices?

Cited in

(2)

• Quantification of model risk in quadratic hedging in finance
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps

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