LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL
2015 ◽
Vol 18
(05)
◽
pp. 1550033
Keyword(s):
In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We use the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives when the price of the underlying is given by a regime-switching Lévy model. We use a martingale representation theorem result to construct an explicit local risk minimizing strategy.
2016 ◽
Vol 34
(4)
◽
pp. 662-678
◽
Keyword(s):
2007 ◽
Vol 10
(05)
◽
pp. 887-914
◽
Keyword(s):
Keyword(s):
Keyword(s):
1991 ◽
Vol 11
(6)
◽
pp. 697-710
◽
2016 ◽
Vol 64
(4)
◽
pp. 1303-1309
◽