Work

Local risk-minimization for Lévy markets

Year: 2015

Type: article

Source: International Journal of Financial Engineering

DOI: 10.1142/s2424786315500152

Authors: Takuji Arai, Ryoichi Suzuki

Institution: Keio University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Research Promotion Foundation, Japan Society for the Promotion of Science

Award: Research on mathematical expressions and numerical methods for optimal hedging strategies via Malliavin calculus

OpenAlex ID: W2143394147

FWCI: 8.28

Cites: 22

Cited by: 23

Related to: 10