Variance-optimal hedging for time-changed Lévy processes (Q3004473)
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scientific article; zbMATH DE number 5903436
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Variance-optimal hedging for time-changed Lévy processes |
scientific article; zbMATH DE number 5903436 |
Statements
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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0.8385887145996094
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0.8346295952796936
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0.8326942324638367
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0.8137139678001404
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0.8031544089317322
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