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Discrete-time variance-optimal hedging in affine stochastic volatility models

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Persistent link: https://www.econbiz.de/10008655196

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

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Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility

Denkl, Stephan - 2013

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Hedging in affine stochastic volatility models

Vierthauer, Richard - 2010

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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

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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

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Approximate pricing of call options on the quadratic variation in Lévy models

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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 systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so-called leverage effect).lt;brgt;lt;brgt;Our contribution is...

Persistent link: https://www.econbiz.de/10012705869