Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
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References listed on IDEAS
- Windcliff, H. & Forsyth, P.A. & Vetzal, K.R., 2006. "Pricing methods and hedging strategies for volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 409-431, February.
- Wim Schoutens, 2005. "Moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 525-530.
- Philip Protter & Michael Dritschel, 1999. "Complete markets with discontinuous security price," Finance and Stochastics, Springer, vol. 3(2), pages 203-214.
More about this item
KeywordsHedging Strategies; Levy processes; Variance Gamma; Choatic Representation Property; Power Jump Processs; Variance Swaps; Moment Swaps;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C0 - Mathematical and Quantitative Methods - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-21 (All new papers)
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