Local risk-minimization for Lévy markets
Year of publication: |
2015
|
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Authors: | Arai, Takuji ; Suzuki, Ryoichi |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 2, p. 1-28
|
Subject: | Incomplete markets | local risk-minimization | call options | Asian options | lookback options | Lévy processes | Malliavin calculus | Clark–Ocone formula | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Unvollkommener Markt | Incomplete market | Derivat | Derivative | Martingal | Martingale |
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