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Titel:

A note on convergence of option prices and their Greeks for Lévy models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Benth, F.E.; Di Nunno, G.; Khedher, A.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
We study the robustness of option prices to model variation after a change of measure where the measure depends on the model choice. We consider geometric Lévy models in which the infinite activity of the small jumps is approximated by a scaled Brownian motion. For the Esscher transform, the minimal entropy martingale measure, the minimal martingale measure and the mean variance martingale measure, we show that the option prices and their corresponding deltas converge as the scaling of the Brown...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Stochastics: An International Journal of Probability and Stochastic Processes
Jahr:
2013
Band / Volume:
85
Heft / Issue:
6
Seitenangaben Beitrag:
1015-1039
Reviewed:
ja
Sprache:
en
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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