Construction and Hedging of Optimal Payoffs in Lévy Models

DOI10.1007/978-3-319-45875-5_16zbMath1367.91170OpenAlexW2558882853MaRDI QIDQ4976508

Viktor Wolf, Ludger Rüschendorf

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_16

zbMATH Keywords

Lévy modeldelta hedgingEsscher measurecost efficient payoffs

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

Cites Work

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• TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS
• On the optimal risk allocation problem
• On the Method of Optimal Portfolio Choice by Cost-Efficiency
• Optimal payoffs under state-dependent preferences
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