Approximation of CVaR minimization for hedging under exponential-Lévy models
DOI10.1016/j.cam.2017.05.005zbMath1367.91201OpenAlexW2587652230WikidataQ115581077 ScholiaQ115581077MaRDI QIDQ2012597
Madalina Deaconu, Antoine Lejay, Khaled Salhi
Publication date: 1 August 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/hal-01461215/file/cvar-hedging-exp-levy.pdf
incomplete marketfast Fourier transformNeyman-Pearson lemmaconditional value-at-riskEsscher martingale measureexponential-Lévy models
Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
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