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Title:

Lévy models robustness and sensitivity

Document type:
Zeitschriftenaufsatz
Author(s):
Benth, F.E.; Di Nunno, G.; Khedher, A.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
We study the robustness of the sensitivity with respect to parameters in expectation functionals with respect to various approximations of a Lévy process. As sensitivity parameter, we focus on the delta of an European option as the derivative of the option price with respect to the current value of the underlying asset. We prove that the delta is stable with respect to natural approximations of a Lévy process, including approximating the small jumps by a Brownian motion. Our methods are based on...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
QP-PQ: Quantum Probability and White Noise Analysis, Proceedings of the 29th Conference in Hammamet, Tunisia, 1318, October 2008
Year:
2010
Journal volume:
25
Pages contribution:
153–184
Reviewed:
ja
Language:
en
Publisher:
World Scientific
Status:
Postprint / reviewed
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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