MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION

DOI10.1111/J.1467-9965.2008.00342.XzbMath1141.91413OpenAlexW3123377133MaRDI QIDQ3521286

Jan Kallsen, Aleš Černý

Publication date: 21 August 2008

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00342.x

zbMATH Keywords

stochastic volatilityoption pricingoptimal investmentmean-variance hedgingaffine processHeston's model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (13)

A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility ⋮ Quadratic hedging in affine stochastic volatility models ⋮ Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes ⋮ Mean-variance hedging with oil futures ⋮ PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading ⋮ Mean-variance portfolio selection with correlation risk ⋮ On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility ⋮ Evaluating discrete dynamic strategies in affine models ⋮ Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility ⋮ Mean-variance asset-liability management with asset correlation risk and insurance liabilities ⋮ PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS ⋮ HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

Cites Work

• Unnamed Item
• Variance-optimal hedging for processes with stationary independent increments
• On some filtering problems arising in mathematical finance
• Affine processes and applications in finance
• Time-inhomogeneous affine processes
• Attainable claims with \(p\)'th moments
• Martingales versus PDEs in finance: an equivalence result with examples
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
• An Intertemporal General Equilibrium Model of Asset Prices
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE

This page was built for publication: MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION