Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps

Author:

Di Nunno Giulia,Khedher Asma,Vanmaele Michèle

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference32 articles.

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2. Ansel, J.P., Stricker, C.: Lois de martingale, densités et décomposition de Föllmer-Schweizer. Annales de l’Institut Henri-Poincaré Probabilités et Statistiques 28(3), 375–392 (1992)

3. Asmussen, S., Rosinski, J.: Approximations of small jump Lévy processes with a view towards simulation. J. Appl. Probab. 38, 482–493 (2001)

4. Benth, F.E., Di Nunno, G., Khedher, A.: A note on convergence of option prices and their Greeks for Lévy models. Stoch. Int. J. Probab. Stoch. Proces. 85(6), 1015–1039 (2013)

5. Benth, F.E., Di Nunno, G., Khedher, A.: Robustness of option prices and their deltas in markets modelled by jump-diffusions. Commun. Stoch. Anal. 5(2), 285–307 (2011)

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