The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose asset price process is given by the exponential of a normal inverse Gaussian process, using the results of Arai et al. , and Arai and Imai . Here normal inverse Gaussian process is a framework of Lévy processes frequently appeared in financial literature. In addition, some numerical results are also introduced.
|Publication status||Published - 2018 Jan 17|
- Fast Fourier transform
- Local risk minimization
- Mean-variance hedging
- Normal inverse Gaussian process
ASJC Scopus subject areas