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~person:"Kallsen, Jan"
~isPartOf:"Mathematical Finance, 2008, 18(3), 473-492"
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Mathematical Finance, 2008, 18(3), 473-492
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Mean-Variance
Hedging
and Optimal Investment in Heston's Model with Correlation
Černý, Aleš
-
2020
This paper solves the mean-variance
hedging
problem in Heston's model with a stochastic opportunity set moving … derive formulas for the
hedging
strategy and the
hedging
error …
Persistent link: https://www.econbiz.de/10012705869
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