Quadratic hedging in affine stochastic volatility models
| Year of publication: |
2009
|
|---|---|
| Authors: | Kallsen, Jan ; Vierthauer, Richard |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 12.2009, 1, p. 3-27
|
| Publisher: |
Springer |
| Subject: | Mean-variance hedging | Affine processes | Stochastic volatility | Laplace transform |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10004999621