Mean–variance hedging with random volatility jumps

DOI10.1081/SAP-120004112MaRDI QIDQ3146471zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic volatility modelschange of numérairemean-variance optimal measure

Mathematics Subject Classification ID

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

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Cited in

(8)

• Hedging problem with stochastic volatility
• Asset pricing with stochastic volatility
• scientific article; zbMATH DE number 796445 (Why is no real title available?)
• 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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