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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
BibTeX
Vorkommen:
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Book Sections and ProceedingsShenkman, N.