On the difference between locally risk-minimizing and delta hedging strategies for exponential L,vy models

被引：2

作者：

Arai, Takuji ^{[1
]}

Imai, Yuto ^{[2
]}

机构：

[1] Keio Univ, Dept Econ, Minato Ku, 2-15-45 Mita, Tokyo 1088345, Japan

[2] Waseda Univ, Res Inst Sci & Engn, Shinjyuku Ku, 3-4-1 Okubo, Tokyo 1698555, Japan

来源：

JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS | 2017年 / 34卷 / 03期

关键词：

Local risk-minimization; Delta hedging strategy; Fast Fourier transform; Exponential Levy models;

D O I：

10.1007/s13160-017-0268-6

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential L,vy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical examples for two typical exponential L,vy models: Merton models and variance gamma models.

引用

页码：845 / 858

页数：14

共 22 条

[1] On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
Takuji Arai
Yuto Imai
[J]. Japan Journal of Industrial and Applied Mathematics, 2017, 34 : 845 - 858
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