Variance-Optimal Hedging in General Affine Stochastic Volatility Models
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Cites work
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- A guided tour through quadratic hedging approaches
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- Stochastic Volatility for Lévy Processes
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Cited in
(24)- Affine forward variance models
- Asymptotic power utility-based pricing and hedging
- Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Variance optimal hedging for continuous time additive processes and applications
- Variance-optimal hedging for time-changed Lévy processes
- Pricing options on variance in affine stochastic volatility models
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
- Variance-optimal hedging for target volatility options
- Evaluating discrete dynamic strategies in affine models
- Implied integrated variance and hedging
- On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
- Semistatic and sparse variance-optimal hedging
- Local risk-minimization for Barndorff-Nielsen and Shephard models
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
- On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
- Rational hedging with a diversity of implied volatilities
- Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
- Local risk-minimization in exponential Lévy models: explicit representation and jump-adapted discretization
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- Variance-optimal hedging for processes with stationary independent increments
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