Optimality of payoffs in Lévy models
type: Item
instance of: scholarly article
zbMATH Open document ID: 1298.91172
DOI: 10.1142/S0219024914500411
author: Ernst August von Hammerstein
author: Eva Lütkebohmert
author: Ludger Rüschendorf
author: Viktor Wolf
published in: International Journal of Theoretical and Applied Finance
publication date: 2014-11-12T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6368714
zbMATH Keywords: cost-efficient strategies
zbMATH Keywords: optimal payoffs
zbMATH Keywords: Lévy model
zbMATH Keywords: Esscher transform
zbMATH Keywords: delta hedging
MaRDI profile type: Publication
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full work available at URL: s0219024914500411
OpenAlex ID: W2064319543
title: Optimality of payoffs in Lévy models
description: scientific article; zbMATH DE number 6368714