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- Title:
Discrete-time variance-optimal hedging in affine stochastic volatility models
- Document type:
- Buchbeitrag
- Author(s):
- Muhle-Karbe, J., Kallsen, J.; Shenkman, N.; Vierthauer, R.
- Pages contribution:
- 375-393
- 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.
- Editor:
- Kiesel, R.; Scherer, M.; Zagst, R.
- Book title:
- Alternative Investments and Strategies
- Publisher:
- World Scientific, Singapore
- Year:
- 2009
- Language:
- en
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