Mean–variance hedging with random volatility jumps (Q3146471)
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scientific article; zbMATH DE number 1799774
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Mean–variance hedging with random volatility jumps |
scientific article; zbMATH DE number 1799774 |
Statements
Mean–variance hedging with random volatility jumps (English)
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2002
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stochastic volatility models
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mean-variance optimal measure
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change of numéraire
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0.9449438
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0.9206666
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0.92041415
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0.9173628
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0.9084047
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