2018/01/17 by Takuji Arai, Arai, Takuji, Yuto Imai +3
Economics, Econometrics and Finance · Social Sciences · #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1801.05597
openalex publication_date 2018/01/17 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose asset price process is given by the exponential of a normal inverse Gaussian process, using the results of Arai et al. \citeAIS, and Arai and Imai. Here normal inverse Gaussian process is a framework of Lévy processes frequently appeared in financial literature. In addition, some numerical results are also introduced.