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Variance-Optimal Hedging for Time-Changed Lévy Processes - MaRDI portal

Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473)

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Variance-Optimal Hedging for Time-Changed Lévy Processes
scientific article

    Statements

    title
    Variance-Optimal Hedging for Time-Changed Lévy Processes (English)
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    author
    Jan Kallsen
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    Arnd Pauwels
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    publication date
    3 June 2011
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    zbMATH Keywords
    variance-optimal hedging strategy
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    stochastic volatility model
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    Heston model
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    Ornstein-Uhlenbeck model
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    time-changed Lévy process
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    Laplace transform
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    Identifiers

    zbMATH DE Number
    5903436
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    OpenAlex ID
    W2116037068
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