On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models

Takuji Arai, Yuto Imai

研究成果: Article査読

3 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)845-858
ページ数14
ジャーナルJapan Journal of Industrial and Applied Mathematics
34
3
DOI
出版ステータスPublished - 2017 11 1

ASJC Scopus subject areas

  • Engineering(all)
  • Applied Mathematics

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