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Variance-Optimal Hedging in General Affine Stochastic Volatility Models - MaRDI portal

Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394)

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Variance-Optimal Hedging in General Affine Stochastic Volatility Models
scientific article

    Statements

    title
    Variance-Optimal Hedging in General Affine Stochastic Volatility Models (English)
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    author
    Jan Kallsen
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    Arnd Pauwels
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    publication date
    7 June 2010
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    zbMATH Keywords
    variance-optimal hedging
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    stochastic volatility
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    affine process
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    cites work
    Q5436599
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    Q3815091
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    Q4778955
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    Q5493554
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    Option Pricing
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    Q4486401
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    Q4340161
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    Q2771116
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    Q3838091
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    60H05
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    60G48
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    93E20
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    91G20
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    zbMATH DE Number
    5717819
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    OpenAlex ID
    W1977465668
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