Mean–variance hedging with random volatility jumps

DOI10.1081/SAP-120004112zbMath1035.91028OpenAlexW2028324916MaRDI QIDQ3146471

Paolo Guasoni, Francesca Biagini

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

zbMATH Keywords

stochastic volatility modelschange of numérairemean-variance optimal measure

Mathematics Subject Classification ID

Related Items (4)

On the structure of general mean-variance hedging strategies ⋮ QUADRATIC HEDGING FOR THE BATES MODEL ⋮ Discrete hedging in the mean/variance model for European call options ⋮ Quadratic hedging methods for defaultable claims

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