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q-fin.MF2019
Robustness of Delta Hedging in a Jump-Diffusion Model
Frank Bosserhoff, Mitja Stadje
Suppose an investor aims at Delta hedging a European contingent claim in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivi…
q-fin.PM2019
Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model
Frank Bosserhoff, Mitja Stadje
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified…