Local risk-minimization for Lévy markets-Reference-Cited by-同舟云学术

Local risk-minimization for Lévy markets

Published:2015-06 Issue:02 Volume:02 Page:1550015
ISSN:2424-7863
Container-title:International Journal of Financial Engineering
language:en
Short-container-title:J. Finan. Eng.

Author:

Arai Takuji¹,Suzuki Ryoichi²

Affiliation:

1. Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo, 108-8345, Japan

2. Department of Mathematics, Keio University, 3-14-1 Hiyoshi, Kohoku-ku, Yokohama, 223-8522, Japan

Abstract

In this paper, we aim to obtain explicit representations of locally risk-minimizing by using Malliavin calculus for Lévy processes. For incomplete market models whose asset price is described by a solution to a stochastic differential equation driven by a Lévy process, we derive general formulas of locally risk-minimizing including Malliavin derivatives; and calculate its concrete expressions for call options, Asian options and lookback options.

Publisher

World Scientific Pub Co Pte Lt

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2424786315500152

Reference17 articles.

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2. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

3. Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes

4. ${\scr E}$-martingales and their applications in mathematical finance

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