Optimal Hedging Under Fast-Varying Stochastic Volatility
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Publication:5112725
DOI10.1137/18M1221655zbMath1443.91289arXiv1810.08337OpenAlexW3013669110MaRDI QIDQ5112725
Publication date: 8 June 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.08337
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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