Variance-Optimal Hedging for Time-Changed Lévy Processes

DOI10.1080/13504861003669164zbMath1232.91668MaRDI QIDQ3004473

Jan Kallsen, Arnd Pauwels

Publication date: 3 June 2011

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

Full work available at URL: https://macau.uni-kiel.de/servlets/MCRFileNodeServlet/macau_derivate_00000073/arnd2b.pdf

zbMATH Keywords

Laplace transform; Heston model; stochastic volatility model; time-changed Lévy process; Ornstein-Uhlenbeck model; variance-optimal hedging strategy

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Quadratic hedging in affine stochastic volatility models, Variance-Optimal Hedging in General Affine Stochastic Volatility Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quadratic hedging in affine stochastic volatility models
• Variance-optimal hedging for processes with stationary independent increments
• Affine processes and applications in finance
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
• QUADRATIC HEDGING FOR THE BATES MODEL
• Stochastic Volatility for Lévy Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE