On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models

Takuji Arai and Yuto Imai

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Abstract: We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical examples for two typical exponential L\'evy models: Merton models and variance gamma models.

Date: 2016-10
New Economics Papers: this item is included in nep-rmg
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