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

  • Aleš ČernýEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 189)


We examine optimal quadratic hedging of barrier options in a discretely sampled exponential Lévy 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.


Barrier option Quadratic hedging Lévy model 


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Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  1. 1.Cass Business SchoolCity University LondonLondonUK

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