Mean-Variance Hedging for Stochastic Volatility Models

In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doleans exponentials; explicit examples include both models wherevolatility solves a diffusion equation and models where it follows a jump process. We further discussthe closedness of the space of strategies

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Year of publication:	[2003]
Authors:	Biagini, Francesca
Other Persons:	Guasoni, Paolo (contributor) ; Pratelli, Maurizio (contributor)
Publisher:	[2003]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Mathematical Finance, Vol. 10, No. 2, April 2000 Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012786987