7 citations · 7 across the 1 of their papers we have counts for
2 papers
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★ 7 cited
On the Performance of Delta Hedging Strategies in Exponential Lévy Models
Stephan Denkl, Martina Goy, Jan Kallsen +2
We consider the performance of non-optimal hedging strategies in exponential Lévy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable…