Variance-optimal hedging for Asian options under independent increments processes
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Publication:6188580
Recommendations
- Variance-optimal hedging for processes with stationary independent increments
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Cites work
- Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
- Föllmer-Schweizer decomposition and mean-variance hedging for general claims
- Hedging strategies for discretely monitored Asian options under Lévy processes
- On quadratic hedging in continuous time
- Residual risks and hedging strategies in Markovian markets
- Variance optimal hedging for continuous time additive processes and applications
- Variance-Optimal Hedging in Discrete Time
- Variance-optimal hedging for processes with stationary independent increments
- Variance-optimal hedging for target volatility options
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