Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473): Difference between revisions

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Latest revision as of 02:33, 4 July 2024

scientific article
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Variance-Optimal Hedging for Time-Changed Lévy Processes
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    Variance-Optimal Hedging for Time-Changed Lévy Processes (English)
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    3 June 2011
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    variance-optimal hedging strategy
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    stochastic volatility model
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    Heston model
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    Ornstein-Uhlenbeck model
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    time-changed Lévy process
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    Laplace transform
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