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Titel:

Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Cerny, A.; Kallsen, J.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
This paper solves the mean variance hedging problem in Heston's model with a stochastic opportunity set moving systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so-called leverage effect). Our contribution is threefold: using a new concept of opportunity-neutral measure we present a simplified strategy for computing a candidate solution in the correlated case. We then go on to show that this candidate generates the true vari...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Mathematical Finance
Jahr:
2008
Band / Volume:
18
Heft / Issue:
3
Seitenangaben Beitrag:
473-492
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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