2 papers
q-fin.PM2008
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
Wing Yan Yip, Sofia Olhede, David Stephens
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different…
math.PR2007
The Explicit Chaotic Representation of the powers of increments of Levy Processes
Wing Yan Yip, David Stephens, Sofia Olhede
An explicit formula for the chaotic representation of the powers of increments, (X_{t+t_0}-X_{t_0})^n, of a Levy process is presented. There are two different chaos expansions of a…