Mean-Variance Hedging for Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Hedging discontinuous stochastic volatility models
We consider a stochastic volatility model with jumps where the underlying asset price is driven by a process sum of a 2-dimensional Brownian motion and 2-dimensional compensated Poisson process. The market is incomplete, there is an infinity of Equivalent Martingale Measures (E.M.M) and an infinity of hedging strategies. We characterize the set of E.M.M, and we hedge by minimizing the variance ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2000
ISSN: 0960-1627,1467-9965
DOI: 10.1111/1467-9965.00084