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Dokumenttyp:
Buchbeitrag 
Autor(en):
Kallsen, J.; Muhle-Karbe, J.; Shenkman, N.; Vierthauer, R. 
Kooperation:
Titel:
Discrete-time variance-optimal hedging in affine stochastic volatility models 
Abstract:
We consider variance-optimal hedging when trading is restricted to a finite time set. Using Laplace transform methods, we derive semi-explicit formulas for the varianceoptimal initial capital and hedging strategy in affine stochastic volatility models. For the corresponding minimal expected squared hedging error, we propose a closed-form approximation as well as a simulation approach. The results are illustrated by computing the relevant quantities in a time-changed Lévy model. 
Seitenangaben Beitrag:
Herausgeber:
Kiesel, R.; Scherer, M.; Zagst, R.; Editors 
Buchtitel:
Alternative Investments and Strategies 
Intellectual Contribution:
Discipline-based Research 
Verlag / Institution:
World Scientific 
Verlagsort:
Singapore 
Jahr:
2010 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook