Variance-Optimal Hedging for Time-Changed Levy Processes

In this article, we solve the variance-optimal hedging problem in stochastic volatility (SV) models based on time-changed Levy processes, that is, in the setup of Carr et al. (2003). The solution is derived using results for general affine models in the companion article [Kallsen and Pauwels (2009)].

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Year of publication:	2011
Authors:	Kallsen, Jan ; Pauwels, Arnd
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 18.2011, 1, p. 1-28
Publisher:	Taylor & Francis Journals
Subject:	Variance-optimal hedging \| Stochastic volatility \| Time-changed Levy process \| Laplace transform

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

Persistent link: https://www.econbiz.de/10009279071