MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286): Difference between revisions
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Revision as of 12:37, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION |
scientific article |
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MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (English)
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21 August 2008
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mean-variance hedging
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stochastic volatility
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Heston's model
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affine process
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option pricing
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optimal investment
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