MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
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Publication:3521286
DOI10.1111/j.1467-9965.2008.00342.xzbMath1141.91413OpenAlexW3123377133MaRDI QIDQ3521286
Publication date: 21 August 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00342.x
stochastic volatilityoption pricingoptimal investmentmean-variance hedgingaffine processHeston's model
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