Variance-optimal hedging for time-changed Lévy processes

DOI10.1080/13504861003669164MaRDI QIDQ3004473zbMATH OpenOpenAlexFDO

Authors Jan Kallsen, Arnd Pauwels

Publication date 3 June 2011

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://macau.uni-kiel.de/servlets/MCRFileNodeServlet/macau_derivate_00000073/arnd2b.pdf

zbMATH Keywords

Heston modelLaplace transformOrnstein-Uhlenbeck modelstochastic volatility modeltime-changed Lévy processvariance-optimal hedging strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of two quadratic approaches to hedging in incomplete markets
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
• Affine processes and applications in finance
• scientific article; zbMATH DE number 3163006 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• QUADRATIC HEDGING FOR THE BATES MODEL
• Quadratic hedging in affine stochastic volatility models
• Stochastic Volatility for Lévy Processes
• Variance-optimal hedging for processes with stationary independent increments

Cited in

(15)

• Option pricing and hedging for optimized Lévy driven stochastic volatility models
• BSDEs driven by time-changed Lévy noises and optimal control
• Pricing average options under time-changed Lévy processes
• Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models
• Variation and share-weighted variation swaps on time-changed Lévy processes
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• A dynamic equilibrium model for U-shaped pricing kernels
• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
• Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
• On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
• Hedging strategies for energy derivatives
• Quadratic hedging in affine stochastic volatility models
• Variance-optimal hedging for processes with stationary independent increments

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