Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models

DOI10.1007/978-981-13-0605-1_1zbMath1418.91593arXiv1801.05597OpenAlexW2782747230MaRDI QIDQ1626427

Takuji Arai, Ryo Nakashima, Yuto Imai

Publication date: 27 November 2018

Full work available at URL: https://arxiv.org/abs/1801.05597

zbMATH Keywords

fast Fourier transformlocal risk minimizationmean-variance hedgingnormal inverse Gaussian process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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