FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W289131035> ?p ?o ?g. }

• W289131035 abstract "Our research falls into a broad area of pricing and hedging of contingent claims in incomplete markets. In the first part we introduce the Levy processes as a suitable class of processes for financial modelling purposes. This in turn causes the market to become incomplete in general and therefore the martingale measure for the pricing/hedging purposes has to be chosen by introducing some subjective criteria. We study several such criteria in the second section for a general stochastic volatility model driven by Levy process, leading to minimal martingale measure, variance-optimal, or the more general q-optimal martingale measure, for which we show the convergence to the minimal entropy martingale measure for q ↓ 1. The martingale measures studied in the second section are put to use in the third section, where we consider various hedging problems in both martingale and semimartingale setting. We study locally risk-minimization hedging problem, meanvariance hedging and the more general p-optimal hedging, of which the meanvariance hedging is a special case for p = 2. Our model allows us to explicitly determine the variance-optimal martingale measure and the mean-variance hedging strategy using the structural results of Gourieroux, Laurent and Pham (1998) extended to discontinuous case by Arai (2005a). Assuming a Markovian framework and appealing to the Feynman-Kac theorem, the optimal hedge can be found by solving a three-dimensional partial integrodifferential equation. We illustrate this in the last section by considering the variance-optimal hedge of the European put option, and find the solution numerically by applying finite difference method." @default.
• W289131035 created "2016-06-24" @default.
• W289131035 creator A5000788117 @default.
• W289131035 date "2011-12-01" @default.
• W289131035 modified "2023-09-24" @default.
• W289131035 title "Optimal Martingale measures and hedging in models driven by Levy processes" @default.
• W289131035 cites W104688703 @default.
• W289131035 cites W131764430 @default.
• W289131035 cites W1485598997 @default.
• W289131035 cites W1493238038 @default.
• W289131035 cites W1584623820 @default.
• W289131035 cites W1608811843 @default.
• W289131035 cites W1966132745 @default.
• W289131035 cites W1973185776 @default.
• W289131035 cites W1976519597 @default.
• W289131035 cites W1977600059 @default.
• W289131035 cites W1983135873 @default.
• W289131035 cites W1986560609 @default.
• W289131035 cites W1990993141 @default.
• W289131035 cites W1994438934 @default.
• W289131035 cites W1998107368 @default.
• W289131035 cites W2001244105 @default.
• W289131035 cites W2002530172 @default.
• W289131035 cites W2006323275 @default.
• W289131035 cites W2006795133 @default.
• W289131035 cites W2007818171 @default.
• W289131035 cites W2008016491 @default.
• W289131035 cites W2012189453 @default.
• W289131035 cites W2013646032 @default.
• W289131035 cites W2014943030 @default.
• W289131035 cites W2017392078 @default.
• W289131035 cites W2021434857 @default.
• W289131035 cites W2021721819 @default.
• W289131035 cites W2028324916 @default.
• W289131035 cites W2028389571 @default.
• W289131035 cites W2030354114 @default.
• W289131035 cites W2040425860 @default.
• W289131035 cites W2040622867 @default.
• W289131035 cites W2041609545 @default.
• W289131035 cites W2042931872 @default.
• W289131035 cites W2054515856 @default.
• W289131035 cites W2058903005 @default.
• W289131035 cites W2059698282 @default.
• W289131035 cites W2061422507 @default.
• W289131035 cites W206182353 @default.
• W289131035 cites W2062076119 @default.
• W289131035 cites W2063687989 @default.
• W289131035 cites W2064978316 @default.
• W289131035 cites W2068761599 @default.
• W289131035 cites W2075679850 @default.
• W289131035 cites W2081877251 @default.
• W289131035 cites W2083062744 @default.
• W289131035 cites W2098115979 @default.
• W289131035 cites W2105832006 @default.
• W289131035 cites W2108920735 @default.
• W289131035 cites W2114102890 @default.
• W289131035 cites W2119998039 @default.
• W289131035 cites W2127141507 @default.
• W289131035 cites W2138540172 @default.
• W289131035 cites W2150583266 @default.
• W289131035 cites W2150976467 @default.
• W289131035 cites W2157726608 @default.
• W289131035 cites W2288495973 @default.
• W289131035 cites W2338681524 @default.
• W289131035 cites W2466826444 @default.
• W289131035 cites W2512223152 @default.
• W289131035 cites W3120164020 @default.
• W289131035 cites W3121219482 @default.
• W289131035 cites W3121574170 @default.
• W289131035 cites W3122558569 @default.
• W289131035 cites W3123377133 @default.
• W289131035 cites W3124754868 @default.
• W289131035 cites W3125090384 @default.
• W289131035 cites W3125610220 @default.
• W289131035 cites W3125769878 @default.
• W289131035 hasPublicationYear "2011" @default.
• W289131035 type Work @default.
• W289131035 sameAs 289131035 @default.
• W289131035 citedByCount "0" @default.
• W289131035 crossrefType "dissertation" @default.
• W289131035 hasAuthorship W289131035A5000788117 @default.
• W289131035 hasConcept C104824951 @default.
• W289131035 hasConcept C106159729 @default.
• W289131035 hasConcept C144237770 @default.
• W289131035 hasConcept C149782125 @default.
• W289131035 hasConcept C162324750 @default.
• W289131035 hasConcept C185637853 @default.
• W289131035 hasConcept C18903297 @default.
• W289131035 hasConcept C28826006 @default.
• W289131035 hasConcept C33923547 @default.
• W289131035 hasConcept C39943821 @default.
• W289131035 hasConcept C48406656 @default.
• W289131035 hasConcept C51955184 @default.
• W289131035 hasConcept C58435881 @default.
• W289131035 hasConcept C70771513 @default.
• W289131035 hasConcept C76374431 @default.
• W289131035 hasConcept C86803240 @default.
• W289131035 hasConcept C88757350 @default.
• W289131035 hasConcept C93373587 @default.
• W289131035 hasConceptScore W289131035C104824951 @default.

• next