Variance-optimal hedging for target volatility options (Q380555)
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scientific article; zbMATH DE number 6226910
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance-optimal hedging for target volatility options |
scientific article; zbMATH DE number 6226910 |
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Variance-optimal hedging for target volatility options (English)
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14 November 2013
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variance-optimal hedging
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target volatility options
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Lévy processes
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Föllmer-Schweizer decomposition
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Galtchouk-Kunita-Watanabe decomposition
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0.92734534
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0.9201369
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0.9190887
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0.9065032
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0.9003024
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