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Title:

Robustness of quadratic hedging strategies in finance via fourier transforms

Document type:
Zeitschriftenaufsatz
Author(s):
Daveloose, C.; Khedher, A.; Vanmaele, M.
Non-TUM Co-author(s):
ja
Cooperation:
national
Abstract:
In this paper we investigate the consequences of the choice of the model to partial hedging in incomplete markets in finance. In fact we consider two models for the stock price process. The first model is a geometric Levy process in which the small jumps might have infinite activity. The second model is a geometric Levy process where the small jumps are truncated or replaced by a Brownian motion which is appropriately scaled. To prove the robustness of the quadratic hedging strategies we use pri...     »
Keywords:
Levy processes, Options, Quadratic hedging, Fourier transforms, Robustness
Intellectual Contribution:
Contribution to Practice
Journal title:
submitted paper
Journal listet in FT50 ranking:
nein
Year:
2014
Pages contribution:
-
Reviewed:
nein
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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