کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4638158 1631995 2016 33 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robustness of quadratic hedging strategies in finance via Fourier transforms
ترجمه فارسی عنوان
استحکام استراتژی های استحصال درجه دوم در مالی از طریق تبدیل فوریه
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی

In this paper we investigate the consequences of the choice of the model to partial hedging in incomplete markets in finance. In fact we consider two models for the stock price process. The first model is a geometric Lévy process in which the small jumps might have infinite activity. The second model is a geometric Lévy process where the small jumps are truncated or replaced by a Brownian motion which is appropriately scaled. To prove the robustness of the quadratic hedging strategies we use pricing and hedging formulas based on Fourier transform techniques. We compute convergence rates and motivate the applicability of our results with examples.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 296, April 2016, Pages 56–88
نویسندگان
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