Benutzer: Gast  Login
Titel:

Discrete-time variance-optimal hedging in affine stochastic volatility models

Dokumenttyp:
Buchbeitrag
Autor(en):
Muhle-Karbe, J., Kallsen, J.; Shenkman, N.; Vierthauer, R.
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:
375-393
Herausgeber:
Kiesel, R.; Scherer, M.; Zagst, R.
Buchtitel:
Alternative Investments and Strategies
Verlag / Institution:
World Scientific, Singapore
Jahr:
2009
Sprache:
en
 BibTeX