TY - JOUR
T1 - On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
AU - Arai, Takuji
AU - Imai, Yuto
N1 - Funding Information:
Acknowledgements Takuji Arai was supported by JSPS Grant-in-Aid for Scientific Research (C) No.15K04936. Yuto Imai was supported by JSPS Grant-in-Aid for Young Scientists (B) No. 17K13764 and Waseda University Grants for Special Research Projects (Project Number: 2016K-174 and 2016B-123).
Publisher Copyright:
© 2017, The JJIAM Publishing Committee and Springer Japan KK.
PY - 2017/11/1
Y1 - 2017/11/1
N2 - We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical examples for two typical exponential Lévy models: Merton models and variance gamma models.
AB - We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical examples for two typical exponential Lévy models: Merton models and variance gamma models.
KW - Delta hedging strategy
KW - Exponential Lévy models
KW - Fast Fourier transform
KW - Local risk-minimization
UR - http://www.scopus.com/inward/record.url?scp=85029790386&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85029790386&partnerID=8YFLogxK
U2 - 10.1007/s13160-017-0268-6
DO - 10.1007/s13160-017-0268-6
M3 - Article
AN - SCOPUS:85029790386
SN - 0916-7005
VL - 34
SP - 845
EP - 858
JO - Japan Journal of Industrial and Applied Mathematics
JF - Japan Journal of Industrial and Applied Mathematics
IS - 3
ER -