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Document type:
Buchbeitrag 
Author(s):
Kallsen, J.; Muhle-Karbe, J.; Shenkman, N.; Vierthauer, R. 
Cooperation:
Title:
Discrete-time variance-optimal hedging in affine stochastic volatility models 
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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