|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'504'928
Articles rated: 2609
25 April 2024 |
|
| | | | |
|
Article overview
| |
|
|
On the Performance of Delta Hedging Strategies in Exponential L'evy Models | | Stephan Denkl
; Martina Goy
; Jan Kallsen
; Johannes Muhle-Karbe
; Arnd Pauwels
; | | Date: |
25 Nov 2009 | | Abstract: | We consider the performance of non-optimal hedging strategies in exponential
L’evy models. Given that both the payoff of the contingent claim and the
hedging strategy admit suitable integral representations, we use the Laplace
transform approach of Hubalek et al. to derive semi-explicit formulas for the
resulting mean squared hedging error in terms of the cumulant generating
function of the underlying L’evy process. In a numerical example, we apply
these results to compare the efficiency of the Black-Scholes delta hedge to the
mean-variance optimal hedge in a normal inverse Gaussian L’evy model. | | Source: | arXiv, 0911.4859 | | Services: | Forum | Review | PDF | Favorites | |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER