MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00342.x / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3123377133 / rank | |||
Normal rank | |||
Revision as of 20:46, 19 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 |
Statements
MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (English)
0 references
21 August 2008
0 references
mean-variance hedging
0 references
stochastic volatility
0 references
Heston's model
0 references
affine process
0 references
option pricing
0 references
optimal investment
0 references
