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Pricing options on variance in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 627-641
Persistent link: https://www.econbiz.de/10009311683
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Utility maximization in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
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Optimal portfolios for exponential Lévy processes
Kallsen, Jan - In: Mathematical methods of operations research 51 (2000) 3, pp. 357-374
Persistent link: https://www.econbiz.de/10001519649
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The cumulant process and Esscherś change of measure
Kallsen, Jan; Širjaev, Alʹbert N. - In: Finance and stochastics 6 (2002) 4, pp. 397-428
Persistent link: https://www.econbiz.de/10001702776
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Variance-optimal hedging for time-changed Lévy processes
Kallsen, Jan; Pauwels, Arnd Philipp - In: Applied mathematical finance 18 (2011) 1/2, pp. 1-28
Persistent link: https://www.econbiz.de/10009154430
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Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility
Denkl, Stephan - 2013
Persistent link: https://www.econbiz.de/10010200946
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Hedging in affine stochastic volatility models
Vierthauer, Richard - 2010
Persistent link: https://www.econbiz.de/10008779220
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Mean-variance hedging and optimal investment in Heston's model with correlation
Černý, Aleš; Kallsen, Jan - In: Mathematical finance : an international journal of … 18 (2008) 3, pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
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On a Heath-Jarrow-Morton approach for stock options
Kallsen, Jan; Krühner, Paul - In: Finance and stochastics 19 (2015) 3, pp. 583-615
Persistent link: https://www.econbiz.de/10011418308
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Approximate pricing of barrier options in Lévy models
Jahncke, Giso - 2017
Persistent link: https://www.econbiz.de/10011776870