Numerical analysis on local risk-minimization forexponential L\'evy models
Computational Finance
2015-06-15 v1
Abstract
We illustrate how to compute local risk minimization (LRM) of call options for exponential L\'evy models. We have previously obtained a representation of LRM for call options; here we transform it into a form that allows use of the fast Fourier transform method suggested by Carr & Madan. In particular, we consider Merton jump-diffusion models and variance gamma models as concrete applications.
Keywords
Cite
@article{arxiv.1506.03898,
title = {Numerical analysis on local risk-minimization forexponential L\'evy models},
author = {Takuji Arai and Yuto Imai and Ryoichi Suzuki},
journal= {arXiv preprint arXiv:1506.03898},
year = {2015}
}