Local risk-minimization with longevity bonds

2014 ◽  
Vol 31 (2) ◽  
pp. 241-263 ◽  
Author(s):  
Lars Frederik Brandt Henriksen ◽  
Thomas Møller
Keyword(s):  
Risk Minimization ◽  
Local Risk ◽  
Longevity Bonds

LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL

2015 ◽  
Vol 18 (05) ◽  
pp. 1550033
Author(s):  
OLIVIER MENOUKEU-PAMEN ◽  
ROMUALD MOMEYA
Keyword(s):  
Regime Switching ◽  
Risk Minimization ◽  
Martingale Representation ◽  
Option Hedging ◽  
Hedging Strategies ◽  
Local Risk ◽  
Hedging Problem ◽  
Markov Modulated ◽  
Martingale Representation Theorem ◽  
Minimization Approach

In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We use the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives when the price of the underlying is given by a regime-switching Lévy model. We use a martingale representation theorem result to construct an explicit local risk minimizing strategy.

On Minimizing Risk in Incomplete Markets Option Pricing Models

1998 ◽  
Vol 01 (02) ◽  
pp. 227-233 ◽  
Author(s):  
Ola Hammarlid
Keyword(s):  
Incomplete Markets ◽  
Option Price ◽  
Market Model ◽  
Risk Minimization ◽  
Pricing Options ◽  
Fair Game ◽  
Local Risk ◽  
Game Condition ◽  
Stock Portfolio ◽  
Global And Local

I study the Bouchaud–Sornette, Schweizer and Schäl way of pricing options, presenting the methodology in accordance with Bouchaud–Sornette. The definitions of the wealth balance and risk from trading in options and stocks are presented. The problem of finding a risk minimizing strategy in an incomplete market model where a perfect hedge is not possible is analyzed. Using this strategy according to the approach of Bouchaud and Sornette the option is priced by a fair game condition. In this article I establish the equivalence between global and local risk minimization and prove an option price conjecture of Wolczyńska. I also investigate optimality for a stock portfolio with extra profit.

Bound of Local Risk Minimization Estimation on gλSpace

2014 ◽  
Vol 599-601 ◽  
pp. 2188-2193
Author(s):  
Yun Chao Bai
Keyword(s):  
Estimation Problem ◽  
Risk Minimization ◽  
Structural Risk Minimization ◽  
Structural Risk ◽  
Local Risk

Onmeasure space, the ideas of local risk minimization estimation problem is presented; In order to make the principle of structural risk minimization applying to the problem of local risk minimization estimation, the paper gives and proves the bounds of the bound of local risk minimization estimation.

scholarly journals GARCH options via local risk minimization

2012 ◽  
Vol 12 (7) ◽  
pp. 1095-1110 ◽  
Author(s):  
Juan-Pablo Ortega
Keyword(s):  
Risk Minimization ◽  
Local Risk
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