Quadratic hedging in affine stochastic volatility models
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Publication:836036
DOI10.1007/S11147-009-9034-5zbMATH Open1168.91463OpenAlexW2094047149MaRDI QIDQ836036FDOQ836036
Authors: Jan Kallsen, Richard Vierthauer 
Publication date: 31 August 2009
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://macau.uni-kiel.de/receive/macau_publ_00000345
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Cited In (38)
- Variance-optimal hedging for processes with stationary independent increments
- HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- A profitable modification to global quadratic hedging
- Title not available (Why is that?)
- Quadratic Hedging with Mixed State and Control Constraints
- Optimal hedging under fast-varying stochastic volatility
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation
- Lattice-based hedging schemes under GARCH models
- Quadratic hedging for asset derivatives with discrete stochastic dividends.
- Variance-optimal hedging for time-changed Lévy processes
- On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
- Hedging options in the incomplete market with stochastic volatility
- Quadratic-Variation-Based Dynamic Strategies
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
- On the performance of delta hedging strategies in exponential Lévy models
- Volatility-invariant hedging
- Quadratic hedging methods for defaultable claims
- Robustness of quadratic hedging strategies in finance via Fourier transforms
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- Asymptotic power utility-based pricing and hedging
- Why are quadratic normal volatility models analytically tractable?
- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
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- BSDEs driven by time-changed Lévy noises and optimal control
- Evaluating discrete dynamic strategies in affine models
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- QUADRATIC HEDGING FOR THE BATES MODEL
- Local risk-minimization for Barndorff-Nielsen and Shephard models
- Pricing options on variance in affine stochastic volatility models
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