Variance-optimal hedging for target volatility options

DOI10.3934/jimo.2014.10.207zbMath1275.91127OpenAlexW1990246855MaRDI QIDQ380555

Xingchun Wang, Yong Jin Wang

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2014.10.207

zbMATH Keywords

Lévy processesvariance-optimal hedgingFöllmer-Schweizer decompositionGaltchouk-Kunita-Watanabe decompositiontarget volatility options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

Related Items (5)

Catastrophe equity put options with target variance ⋮ Volatility Targeting Using Delayed Diffusions ⋮ Hedging strategies for discretely monitored Asian options under Lévy processes ⋮ Unnamed Item ⋮ Target volatility option pricing in the lognormal fractional SABR model

Cites Work

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• Variance-optimal hedging for processes with stationary independent increments
• Approximating random variables by stochastic integrals
• Variance swaps on time-changed Lévy processes
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• On the pricing and hedging of volatility derivatives
• Variance-Optimal Hedging in Discrete Time
• TARGET VOLATILITY OPTION PRICING

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