%0 Journal Article
%T Numerical analysis on local risk-minimization forexponential L¨¦vy models
%A Takuji Arai
%A Yuto Imai
%A Ryoichi Suzuki
%J Quantitative Finance
%D 2015
%I arXiv
%X We illustrate how to compute local risk minimization (LRM) of call options for exponential L\'evy 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.
%U http://arxiv.org/abs/1506.03898v1