formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging … strategies (the Greeks) in jump-type derivatives market as opposed to more complex jump models. …

We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy … additionally performed for some popular suboptimal hedging strategies, with the same conclusion …

measured in terms of minimal variance and the associated optimal hedging portfolio is derived by a stochastic maximum principle …

solution for call options hedging under the exponential-Lévy class of price models. This approach leads to an efficient and …In this paper, we study the hedging problem based on the CVaR in incomplete markets. As the superhedging is quite … expensive in terms of initial capital, we construct a self-financing strategy that minimizes the CVaR of hedging risk under a …

lower- and upper-hedging problems, and somewhat unexpectedly, a facelift turns out to exist in utility-maximization despite …