The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution

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In financial option pricing, the stable Lévy framework is a problematic issue because of its (theoretical) infinite invariance. This paper deals with the integration of these processes into option pricing by defining the minimal theoretical condition required for an optimal risk hedging based on a stable Lévy framework with an exponentially truncated distribution.

This content has been updated on 7 November 2019 at 11 h 02 min.