英文标题：
《Hedging in L\\\'evy Models and the Time Step Equivalent of Jumps》
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作者：
Ale\\v{s} \\v{C}ern\\\'y, Stephan Denkl, Jan Kallsen
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最新提交年份：
2017
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英文摘要：
We consider option hedging in a model where the underlying follows an exponential L\\\'evy process. We derive approximations to the variance-optimal and to some suboptimal strategies as well as to their mean squared hedging errors. The results are obtained by considering the L\\\'evy model as a perturbation of the Black-Scholes model. The approximations depend on the first four moments of logarithmic stock returns in the L\\\'evy model and option price sensitivities (greeks) in the limiting Black-Scholes model. We illustrate numerically that our formulas work well for a variety of L\\\'evy models suggested in the literature. From a theoretical point of view, it turns out that jumps have a similar effect on hedging errors as discrete-time hedging in the Black-Scholes model.
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中文摘要：
我们在一个模型中考虑期权套期保值，该模型中的标的物遵循指数LSevy过程。我们推导了最优方差和一些次优策略的近似值，以及它们的均方套期保值误差。这些结果是通过将列维模型视为Black-Scholes模型的扰动而得到的。近似值取决于勒夫模型中对数股票收益的前四个时刻，以及极限布莱克-斯科尔斯模型中的期权价格敏感性（希腊语）。我们从数值上说明，我们的公式适用于文献中提出的各种Lāevy模型。从理论角度来看，跳跃对套期保值误差的影响与Black-Scholes模型中的离散时间套期保值类似。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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