标题： 离散时间指数Lévy模型中障碍期权的二次对冲 显示英文标题

标题： Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model

摘要： 我们研究了在离散采样指数Lévy模型中障碍期权的最优二次对冲，该模型已现实地校准以反映股权收益的尖峰厚尾特性。 我们的主要发现是，对冲误差对价格的影响比文献中研究的其他定价偏差的影响高几倍。 显示英文摘要

摘要： We examine optimal quadratic hedging of barrier options in a discretely sampled exponential L\'{e}vy model that has been realistically calibrated to reflect the leptokurtic nature of equity returns. Our main finding is that the impact of hedging errors on prices is several times higher than the impact of other pricing biases studied in the literature.