Optimality of payoffs in Lévy models
Ernst August von Hammerstein, Eva Lütkebohmert, Ludger Rüschendorf and Viktor Wolf
| Year of publication: |
2014
|
|---|---|
| Authors: | Hammerstein, Ernst August v. ; Lütkebohmert, Eva ; Rüschendorf, Ludger ; Wolf, Viktor |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 6, p. 1-46
|
| Subject: | Cost-efficient strategies | optimal payoffs | Lévy model | Esscher transform | delta hedging | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |