Mean-Variance Hedging for Stochastic Volatility Models

DOI10.1111/1467-9965.00084zbMath1014.91039OpenAlexW2012189453MaRDI QIDQ2707137

Francesca Biagini, Paolo Guasoni, Maurizio Pratelli

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00084

zbMATH Keywords

stochastic volatilitymean-variance hedgingvariance-optimal martingale measure

Mathematics Subject Classification ID

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