کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5776263 1631965 2017 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Approximation of CVaR minimization for hedging under exponential-Lévy models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Approximation of CVaR minimization for hedging under exponential-Lévy models
چکیده انگلیسی
In this paper, we study the hedging problem based on the CVaR in incomplete markets. As the superhedging is quite expensive in terms of initial capital, we construct a self-financing strategy that minimizes the CVaR of hedging risk under a budget constraint on the initial capital. In incomplete markets, no explicit solution can be provided. To approximate the problem, we apply the Neyman-Pearson lemma approach with a specific equivalent martingale measure. Afterwards, we explicit the solution for call options hedging under the exponential-Lévy class of price models. This approach leads to an efficient and easy to implement method using the fast Fourier transform. We illustrate numerical results for the Merton model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 326, 15 December 2017, Pages 171-182
نویسندگان
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