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Spectral calibration of exponential Lévy models

✍ Scribed by Denis Belomestny; Markus Reiß

Publisher
Springer-Verlag
Year
2006
Tongue
English
Weight
343 KB
Volume
10
Category
Article
ISSN
0949-2984

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Efficient static replication of European
Efficient static replication of European options under exponential Lévy models
✍ Akihiko Takahashi; Akira Yamazaki 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 290 KB

## Abstract This study proposes a new scheme for the static replication of European options and their portfolios. First, a general approximation formula for efficient static replication as an extension of Carr P. and Chou A. (1997, 2002) and Carr P. and Wu L. (2002) is derived. Second, a concrete p