In this paper we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged po-sition in a continuous time, regime-switching jump-diffusion market, by using Fourier Transform methods. However, the analysis of this hedging strategy, as well as the computational technique for its implementation, is fairly general, i.e. it can be applied to any dynamical model for which Fourier transform methods are viable
Ramponi, A. (2013). VaR-Optimal risk management in regime-switching jump-diffusion models. JOURNAL OF MATHEMATICAL FINANCE, 3(1), 103-109 [10.4236/jmf.2013.31009].
VaR-Optimal risk management in regime-switching jump-diffusion models
RAMPONI, ALESSANDRO
2013-01-01
Abstract
In this paper we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged po-sition in a continuous time, regime-switching jump-diffusion market, by using Fourier Transform methods. However, the analysis of this hedging strategy, as well as the computational technique for its implementation, is fairly general, i.e. it can be applied to any dynamical model for which Fourier transform methods are viableFile in questo prodotto:
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