HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

DOI10.1111/j.1467-9965.2010.00414.xzbMath1232.91678arXiv0801.4941OpenAlexW3125896473MaRDI QIDQ3161739

Sofia C. Olhede, David A. Stephens, Wing Yan Yip

Publication date: 15 October 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.4941

zbMATH Keywords

hedgingLévy processexotic optionvariance swapmoment swapchaotic representation propertypower jump asset

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) Portfolio theory (91G10)

Related Items (2)

Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ The explicit chaotic representation of the powers of increments of Lévy processes

Cites Work

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• Calibration and hedging under jump diffusion
• Complete markets with discontinuous security price
• Taylor series based finite difference approximations of higher-degree derivatives
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Moment swaps
• Martingale Representation of Functionals of Lévy Processes

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