TY - JOUR
T1 - Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
AU - Arai, Takuji
AU - Imai, Yuto
AU - Nakashimax, Ryo
N1 - Publisher Copyright:
Copyright © 2018, The Authors. All rights reserved.
Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 2018/1/17
Y1 - 2018/1/17
N2 - 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. [2], and Arai and Imai [1]. Here normal inverse Gaussian process is a framework of Lévy processes frequently appeared in financial literature. In addition, some numerical results are also introduced.
AB - 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. [2], and Arai and Imai [1]. Here normal inverse Gaussian process is a framework of Lévy processes frequently appeared in financial literature. In addition, some numerical results are also introduced.
KW - Fast Fourier transform
KW - Local risk minimization
KW - Mean-variance hedging
KW - Normal inverse Gaussian process
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M3 - Article
AN - SCOPUS:85093013910
JO - Mathematical Social Sciences
JF - Mathematical Social Sciences
SN - 0165-4896
ER -