Variance-Optimal Hedging for Time-Changed Lévy Processes

DOI10.1080/13504861003669164zbMath1232.91668OpenAlexW2116037068MaRDI QIDQ3004473

Jan Kallsen, Arnd Pauwels

Publication date: 3 June 2011

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

Full work available at URL: https://macau.uni-kiel.de/servlets/MCRFileNodeServlet/macau_derivate_00000073/arnd2b.pdf

zbMATH Keywords

Laplace transformHeston modelstochastic volatility modeltime-changed Lévy processOrnstein-Uhlenbeck modelvariance-optimal hedging strategy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Quadratic hedging in affine stochastic volatility models ⋮ Jumps and stochastic volatility in crude oil prices and advances in average option pricing ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ Option pricing and hedging for optimized Lévy driven stochastic volatility models ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Pricing average options under time-changed Lévy processes ⋮ Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility ⋮ Variance-Optimal Hedging in General Affine Stochastic Volatility Models ⋮ On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process ⋮ Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes ⋮ Hedging strategies for energy derivatives ⋮ Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect

Cites Work

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