On the performance of delta hedging strategies in exponential Lévy models
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2013.779742
Reference13 articles.
1. Processes of normal inverse Gaussian type
2. The Fine Structure of Asset Returns: An Empirical Investigation
3. Option valuation using the fast Fourier transform
4. OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNS
5. On the structure of general mean-variance hedging strategies
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3. Hedging with Linear Regressions and Neural Networks*;Journal of Business & Economic Statistics;2021-06-08
4. Hedging with Neural Networks;SSRN Electronic Journal;2020
5. On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models;Japan Journal of Industrial and Applied Mathematics;2017-09-25
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