OPTIMALITY OF PAYOFFS IN LÉVY MODELS
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Publication:2929383
DOI10.1142/S0219024914500411zbMath1298.91172OpenAlexW2064319543MaRDI QIDQ2929383
Viktor Wolf, Ernst August von Hammerstein, Ludger Rüschendorf, Eva Lütkebohmert
Publication date: 12 November 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500411
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models ⋮ The optimal payoff for a Yaari investor ⋮ Additive portfolio improvement and utility-efficient payoffs ⋮ On the Method of Optimal Portfolio Choice by Cost-Efficiency ⋮ On the Optimal Investment ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES ⋮ Cost-efficiency in multivariate Lévy models
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