TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS

DOI10.1142/S0219024911006760zbMath1282.91322arXiv1003.0709OpenAlexW2080745706MaRDI QIDQ3100991

Mats Brodén, Peter Tankov

Publication date: 22 November 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.0709

zbMATH Keywords

discretization errorexponential Lévy models\(L^{2}\) convergencedigital optionsdelta hedgingquadratic hedging

Mathematics Subject Classification ID

Related Items (9)

OPTIMALITY OF PAYOFFS IN LÉVY MODELS ⋮ A note on Malliavin fractional smoothness for Lévy processes and approximation ⋮ L²-convergence rate for the discretization error of functions of Lévy process ⋮ Approximate indifference pricing in exponential Lévy models ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ Asymptotically optimal discretization of hedging strategies with jumps ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ Hedging strategies for energy derivatives

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• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Quantitative approximation of certain stochastic integrals
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Discrete time hedging errors for options with irregular payoffs

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