Art
J-GLOBAL ID:201702247144351700
Reference number:17A1909637
On the difference between locally risk-minimizing and delta hedging strategies for exponential Levy models
指数Levyに対する局所リスク最小とデルタヘッジング方策の間の差異について
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Author (2):
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Material:
Volume:
34
Issue:
3
Page:
845-858
Publication year:
2017
JST Material Number:
L5671A
ISSN:
0916-7005
Document type:
Article
Article type:
原著論文
Country of issue:
Germany, Federal Republic of (DEU)
Language:
ENGLISH (EN)
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Semi thesaurus term:
Thesaurus term/Semi thesaurus term
Keywords indexed to the article.
All keywords is available on JDreamIII(charged).
On J-GLOBAL, this item will be available after more than half a year after the record posted. In addtion, medical articles require to login to MyJ-GLOBAL.
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JST classification
Category name(code) classified by JST.
Profit management
Reference (8):
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Arai, T., Imai, Y., Suzuki, R.: Numerical local risk minimization for exponential Lévy models. Int. J. Theor. Appl. Finan. 19, 1650008 (2016)
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Arai, T., Suzuki, R.: Local risk-minimization for Lévy markets. Int. J. Finan. Eng. 02, 1550015 (2015)
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Carr, P., Madan, D.: Option valuation using the fast Fourier transform. J. Comput. Finan. 2, 61-73 (1999)
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Denkl, S., Goy, M., Kallsen, J., Muhle-Karbe, J., Pauwels, A.: On the performance of delta hedging strategies in exponential Lévy models. Quant. Finan. 13, 1173-1184 (2013)
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Imai, Y., Arai, T.: Comparison of local risk minimization and delta hedging for exponential Lévy models. JSIAM Lett. 7, 77-80 (2015)
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