QUADRATIC HEDGING FOR THE BATES MODEL

DOI10.1142/S0219024907004433zbMath1140.91354MaRDI QIDQ3502983

Friedrich Hubalek, Carlo Sgarra

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Lévy processesincomplete marketsBates modelstochastic volatility models with jumpsquadratic hedgingfinancial modeling with jumps

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

A finite element discretization method for option pricing with the Bates model ⋮ Variance-Optimal Hedging for Time-Changed Lévy Processes ⋮ Variance-Optimal Hedging in General Affine Stochastic Volatility Models ⋮ Hedging strategies for energy derivatives

Cites Work

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• Mean–variance hedging with random volatility jumps
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Financial Modelling with Jump Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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