On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models
Computational Finance
2016-10-31 v1
Abstract
We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical examples for two typical exponential L\'evy models: Merton models and variance gamma models.
Keywords
Cite
@article{arxiv.1610.09085,
title = {On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models},
author = {Takuji Arai and Yuto Imai},
journal= {arXiv preprint arXiv:1610.09085},
year = {2016}
}
Comments
11 pages and 4 figures