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تسجيل مستخدم جديدNumerical analysis on local risk-minimization forexponential Levy models
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We illustrate how to compute local risk minimization (LRM) of call options for exponential Levy models. We have previously obtained a representation of LRM for call options; here we transform it into a form that allows use of the fast Fourier transform method suggested by Carr & Madan. In particular, we consider Merton jump-diffusion models and variance gamma models as concrete applications.
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