Semistatic and sparse variance‐optimal hedging

DOI10.1111/mafi.12235OpenAlexW2983693951MaRDI QIDQ5109972

Martin Haubold, Martin Keller-Ressel, Paolo Di Tella

Publication date: 14 May 2020

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

Full work available at URL: https://arxiv.org/abs/1709.05519

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (2)

Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation ⋮ A functional analysis approach to the static replication of European options

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