On the performance of delta hedging strategies in exponential Lévy models
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Date
2013Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
Quantitative FinanceVolume
Pages / Article No.
Publisher
RoutledgeSubject
Laplace transform approach; Mean-variance hedging; Delta hedging; Lévy processes; Model misspecificationNotes
Received 24 November 2009, Accepted 20 January 2013, Published online 9 June 2013.More
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ETH Bibliography
yes
Altmetrics