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Title:

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

Document type:
Buchbeitrag
Author(s):
Kallsen, J.; Muhle-Karbe, J.; Shenkman, N.; Vierthauer, R.
Cooperation:
-
Pages contribution:
-
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.; Editors
Book title:
Alternative Investments and Strategies
Intellectual Contribution:
Discipline-based Research
Publisher:
World Scientific
Publisher address:
Singapore
Year:
2010
Reviewed:
ja
Language:
en
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Category:
textbook
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