Numerical analysis on local risk-minimization for exponential Lévy models
Takuji Arai (Department of Economics, Keio University, Tokyo, Japan), Yuto Imai (Department of Mathematics, Waseda University, Tokyo, Japan), Ryoichi Suzuki (Department of Mathematics, Keio University, Yokohama, Japan)
| Year of publication: |
March 2016
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|---|---|
| Authors: | Arai, Takuji ; Imai, Yuto ; Suzuki, Ryoichi |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 2, p. 1-27
|
| Subject: | Local risk minimization | fast Fourier transform | exponential Lévy processes | Merton jump-diffusion processes | variance gamma processes | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500084 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011454349