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摘要翻译：
研究了指数L\'evy模型中非最优套期保值策略的性能。假设未定权益的收益和套期保值策略都允许适当的积分表示，我们使用Hubalek等人的Laplace变换方法。（2006）根据下层L\'Evy过程的累积量母函数导出了所产生的均方对冲误差的半显式公式。在两个数值例子中，我们应用这些结果比较了在正态逆高斯模型和扩散扩展CGMY L\'evy模型中Black-Scholes对冲和模型delta与均值-方差最优对冲的效率。
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英文标题：
《On the Performance of Delta Hedging Strategies in Exponential L\'evy
Models》
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作者：
Stephan Denkl, Martina Goy, Jan Kallsen, Johannes Muhle-Karbe, Arnd
Pauwels
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最新提交年份：
2011
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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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英文摘要：
We consider the performance of non-optimal hedging strategies in exponential L\'evy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representations, we use the Laplace transform approach of Hubalek et al. (2006) to derive semi-explicit formulas for the resulting mean squared hedging error in terms of the cumulant generating function of the underlying L\'evy process. In two numerical examples, we apply these results to compare the efficiency of the Black-Scholes hedge and the model delta to the mean-variance optimal hedge in a normal inverse Gaussian and a diffusion-extended CGMY L\'evy model.
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PDF链接：
https://arxiv.org/pdf/0911.4859
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