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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Daveloose, C.; Khedher, A.; Vanmaele, M. 
Nicht-TUM Koautoren:
ja 
Kooperation:
national 
Titel:
Robustness of quadratic hedging strategies in finance via fourier transforms 
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 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisziplinarität:
Nein 
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