A note on convergence of option prices and their Greeks for Lévy models
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Publication:5410820
DOI10.1080/17442508.2012.736994zbMath1284.91539OpenAlexW2010931156MaRDI QIDQ5410820
Giulia Di Nunno, Asma Khedher, Fred Espen Benth
Publication date: 17 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://urn.nb.no/URN:NBN:no-28064
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models ⋮ Robustness of quadratic hedging strategies in finance via Fourier transforms ⋮ Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk ⋮ Quantification of Model Risk in Quadratic Hedging in Finance
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