Local risk-minimization for Levy markets

被引：10

作者：

Arai, Takuji ^{[1
]}

Suzuki, Ryoichi ^{[2
]}

机构：

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

[2] Keio Univ, Dept Math, Kohoku Ku, Yokohama, Kanagawa 2238522, Japan

来源：

INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2015年 / 2卷 / 02期

关键词：

Incomplete markets; local risk-minimization; call options; Asian options; lookback options; Levy processes; Malliavin calculus; Clark-Ocone formula;

D O I：

10.1142/S2424786315500152

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we aim to obtain explicit representations of locally risk-minimizing by using Malliavin calculus for Levy processes. For incomplete market models whose asset price is described by a solution to a stochastic differential equation driven by a Levy process, we derive general formulas of locally risk-minimizing including Malliavin derivatives; and calculate its concrete expressions for call options, Asian options and lookback options.

引用

页数：28

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