On the performance of delta hedging strategies in exponential Lévy models
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Author / Producer
Date
2013
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Journal / series
Volume
13 (8)
Pages / Article No.
1173 - 1184
Publisher
Routledge
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Software
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Date created
Subject
Laplace transform approach; Mean-variance hedging; Delta hedging; Lévy processes; Model misspecification
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Notes
Received 24 November 2009, Accepted 20 January 2013, Published online 9 June 2013.