Mean–variance hedging with random volatility jumps

DOI10.1081/SAP-120004112zbMATH Open1035.91028OpenAlexW2028324916MaRDI QIDQ3146471FDOQ3146471

Authors: Francesca Biagini, Paolo Guasoni 

Publication date: 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120004112

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zbMATH Keywords

stochastic volatility modelschange of numérairemean-variance optimal measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (8)

• Hedging problem with stochastic volatility
• Asset pricing with stochastic volatility
• Title not available (Why is that?)
• On the structure of general mean-variance hedging strategies
• Quadratic hedging methods for defaultable claims
• Discrete hedging in the mean/variance model for European call options
• QUADRATIC HEDGING FOR THE BATES MODEL
• Mean Variance Hedging in a General Jump Model

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