DENKL, STEPHAN; GOY, MARTINA; KALLSEN, JAN; … - In: Quantitative Finance 13 (2013) 8, pp. 1173-1184
<title>Abstract</title> We consider the performance of non-optimal hedging strategies in exponential Lévy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representations, we use the Laplace transform approach of Hubalek <italic>et al</italic>. [<italic>Ann. Appl. Probab.</italic>,...