Comparison of Some Key Approches to Hedging in Incomplete Markets

The paper provides a numerical comparison of local risk minimisation and mean-variance hedging for some key variations of stochastic volatility models. A hedging and pricing framework is established for both approaches. Important quantitative differences become apparent that have implications for the implementation of hedging strategies under stochastic volatility.

MoreLess

Year of publication:	1998-12-01
Authors:	Heath, David ; Platen, Eckhard ; Schweizer, M.
Institutions:	Finance Discipline Group, Business School

More details

Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 1
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984542