QUADRATIC HEDGING FOR THE BATES MODEL
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Publication:3502983
DOI10.1142/S0219024907004433zbMath1140.91354MaRDI QIDQ3502983
Carlo Sgarra, Friedrich Hubalek
Publication date: 20 May 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Lévy processes; incomplete markets; Bates model; stochastic volatility models with jumps; quadratic hedging; financial modeling with jumps
91B24: Microeconomic theory (price theory and economic markets)
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Variance-Optimal Hedging for Time-Changed Lévy Processes, Variance-Optimal Hedging in General Affine Stochastic Volatility Models
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