23 citations · 81 across the 12 of their papers we have counts for
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q-fin.CP2013
Hedging in Lévy Models and the Time Step Equivalent of Jumps
Aleš Černý, Stephan Denkl, Jan Kallsen
We consider option hedging in a model where the underlying follows an exponential Lévy process. We derive approximations to the variance-optimal and to some suboptimal strategies a…
q-fin.CP2009★ 23 cited
Admissible Strategies in Semimartingale Portfolio Selection
Sara Biagini, Aleš Černý
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal p…