Approximation of CVaR minimization for hedging under exponential-Lévy models

In Section 4 we give a description of all f -divergence minimal martingale measures for HARA utilities in progressively enlarged filtration (see Propositions 5,6 and Theorem 1).

In this paper, we consider the problem of risk minimization in a general discrete time financial market model by means of a shortfall risk based convex risk measures criteria defined

With the f -cost process well defined for strategies of interest in continuous time, we can now state the criteria which will characterize pseudo-optimal strategies, by analogy with

However, as it was explained in Levendorskiˇi (2004b) (see also Section 2), finite difference methods based on approximation of small jumps by an additional dif- fusion component

In particular, we prove that, in situations where the limit of the critical price is equal to the strike price, the rate of convergence to the limit is linear if and only if

The continuity correction results of Broadie Glasserman and Kou for lookback options within the Black-Scholes model are based on a result due to Asmussen, Glynn and Pitman, about

We shall thus rather establish Theorem 1.1 by an adaptation of the arguments of Lyons [Lyo97] for proving Biggins’ martingale convergence for branching random walks, using a version

In a researcher and laboratory network context, where the B-level network contains advice seeking ties among the researchers, the A-level network is defined based on the collabo-