Variance-Optimal Hedging in General Affine Stochastic Volatility Models
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Publication:3566394
DOI10.1239/aap/1269611145zbMath1189.91231OpenAlexW1977465668MaRDI QIDQ3566394
Publication date: 7 June 2010
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1269611145
Generalizations of martingales (60G48) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
Related Items (9)
Quadratic hedging in affine stochastic volatility models ⋮ A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ Local risk-minimization for Barndorff-Nielsen and Shephard models ⋮ On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process ⋮ Asymptotic power utility-based pricing and hedging ⋮ Evaluating discrete dynamic strategies in affine models ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation ⋮ Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
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