Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597)
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scientific article; zbMATH DE number 6755387
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of CVaR minimization for hedging under exponential-Lévy models |
scientific article; zbMATH DE number 6755387 |
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Approximation of CVaR minimization for hedging under exponential-Lévy models (English)
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1 August 2017
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conditional value-at-risk
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exponential-Lévy models
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incomplete market
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Neyman-Pearson lemma
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Esscher martingale measure
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fast Fourier transform
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