Journal of Mathematical Finance
Volume 3, Issue 1 (February 2013)
ISSN Print: 2162-2434 ISSN Online: 2162-2442
Google-based Impact Factor: 1.39 Citations
VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models ()
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ABSTRACT
In this paper we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged position 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.
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