Variance-Optimal Hedging for Time-Changed Lévy Processes

DOI10.1080/13504861003669164zbMath1232.91668MaRDI QIDQ3004473

Jan Kallsen, Arnd Pauwels

Publication date: 3 June 2011

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://macau.uni-kiel.de/servlets/MCRFileNodeServlet/macau_derivate_00000073/arnd2b.pdf

zbMATH Keywords

Laplace transform; Heston model; stochastic volatility model; time-changed Lévy process; Ornstein-Uhlenbeck model; variance-optimal hedging strategy

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process, Quadratic hedging in affine stochastic volatility models, BSDEs driven by time-changed Lévy noises and optimal control, Variance-Optimal Hedging in General Affine Stochastic Volatility Models

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