On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model (Q5397430)

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scientific article; zbMATH DE number 6260382
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On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
scientific article; zbMATH DE number 6260382

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    On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model (English)
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    20 February 2014
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    locally risk-minimising hedging
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    stochastic volatility
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    asymptotic solutions
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    model risk
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    empirical hedging performance
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