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Document type:
Zeitschriftenaufsatz 
Author(s):
Benth, F.E.; Di Nunno, G.; Khedher, A. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Lévy models robustness and sensitivity 
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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