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Persistent link: https://www.econbiz.de/10004999621
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...
Persistent link: https://www.econbiz.de/10009279071
Persistent link: https://www.econbiz.de/10008904356