QUADRATIC HEDGING FOR THE BATES MODEL

In the present paper we give some preliminary results for option pricing and hedging in the framework of the Bates model based on quadratic risk minimization. We provide an explicit expression of the mean-variance hedging strategy in the martingale case and study the Minimal Martingale measure in the general case.

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Year of publication:	2007
Authors:	HUBALEK, FRIEDRICH ; SGARRA, CARLO
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 05, p. 873-885
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Quadratic hedging \| Bates model \| stochastic volatility models with jumps \| financial modeling with jumps \| Lévy processes \| incomplete markets

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004977443