On the performance of delta hedging strategies in exponential Lévy models

DOI10.1080/14697688.2013.779742zbMath1281.91158arXiv0911.4859OpenAlexW2090750183MaRDI QIDQ5397451

Jan Kallsen, Stephan Denkl, Martina Goy, Arnd Pauwels, Johannes Muhle-Karbe

Publication date: 20 February 2014

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

Full work available at URL: https://arxiv.org/abs/0911.4859

zbMATH Keywords

Lévy processesmodel misspecificationmean-variance hedgingdelta hedgingLaplace transform approachEuropean-style contingent claim

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (4)

On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models ⋮ Evaluating discrete dynamic strategies in affine models ⋮ Comparison of local risk minimization and delta hedging strategy for exponential Lévy models ⋮ Variance optimal hedging for continuous time additive processes and applications

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Quadratic hedging in affine stochastic volatility models
• Variance-optimal hedging for processes with stationary independent increments
• Processes of normal inverse Gaussian type
• On quadratic hedging in continuous time
• On the structure of general mean-variance hedging strategies
• The normal inverse gaussian lévy process: simulation and approximation
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
• Option pricing when underlying stock returns are discontinuous

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