OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS

DOI10.1111/j.1467-9965.2007.00299.xzbMath1186.91202OpenAlexW3124955375MaRDI QIDQ5422628

Aleš Černý

Publication date: 29 October 2007

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16289/1/optimal%20continuous%20time%20hedging%20AC.pdf

zbMATH Keywords

Fourier transformincomplete marketoption pricingmean-variance hedgingexponential Lévy processhedging errorlocally optimal strategy

Mathematics Subject Classification ID

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

Related Items (9)

Quadratic hedging in affine stochastic volatility models ⋮ On the structure of general mean-variance hedging strategies ⋮ Move-based hedging of variable annuities: a semi-analytic approach ⋮ On the performance of delta hedging strategies in exponential Lévy models ⋮ Explicit formulas for the minimal variance hedging strategy in a martingale case ⋮ Asymptotic power utility-based pricing and hedging ⋮ Evaluating discrete dynamic strategies in affine models ⋮ Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model ⋮ On Suboptimality of Delta Hedging for Asian Options

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