Benutzer: Gast  Login
Titel:

Robustness of quadratic hedging strategies in finance via fourier transforms

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Daveloose, C.; Khedher, A.; Vanmaele, M.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
Levy processes, Options, Quadratic hedging, Fourier transforms, Robustness
Intellectual Contribution:
Contribution to Practice
Zeitschriftentitel:
submitted paper
Journal gelistet in FT50 Ranking:
nein
Jahr:
2014
Seitenangaben Beitrag:
-
Reviewed:
nein
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
 BibTeX
Versionen