Robustness of quadratic hedging strategies in finance via Fourier transforms

DOI10.1016/J.CAM.2015.09.005zbMATH Open1331.91174OpenAlexW1769413159MaRDI QIDQ898933FDOQ898933

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

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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)

Cites Work

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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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