Risk minimization in stochastic volatility models: model risk and empirical performance

DOI10.1080/14697680902852738zbMath1188.91220OpenAlexW2144635872MaRDI QIDQ3182745

Klaus Reiner Schenk-Hoppé, Christian-Oliver Ewald, Rolf Poulsen

Publication date: 16 October 2009

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

Full work available at URL: https://doi.org/10.1080/14697680902852738

zbMATH Keywords

stochastic volatilitymodel riskempirical hedge performancelocally risk-minimizing delta hedge

Mathematics Subject Classification ID

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Cites Work

• Option hedging for semimartingales
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Sato processes and the valuation of structured products
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Backward Stochastic Differential Equations in Finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Model-free price hedge ratios for homogeneous claims on tradable assets
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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