On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model

DOI10.1080/14697688.2012.691987zbMath1281.91129OpenAlexW2095165835MaRDI QIDQ5397430

Sai Hung Marten Ting, Christian-Oliver Ewald

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.691987

zbMATH Keywords

asymptotic solutionsstochastic volatilitymodel riskempirical hedging performancelocally risk-minimising hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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