MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286)
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scientific article; zbMATH DE number 5314837
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION |
scientific article; zbMATH DE number 5314837 |
Statements
MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (English)
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21 August 2008
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mean-variance hedging
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stochastic volatility
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Heston's model
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affine process
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option pricing
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optimal investment
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0.8229167461395264
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0.8063992857933044
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0.7963857054710388
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0.7955840229988098
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0.7915542721748352
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