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Mean‐Variance Hedging for Stochastic Volatility Models

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References

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2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
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1997Weighted norm inequalities and hedging in incomplete markets118 cited
1997

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On $L^2$-projections on a space of stochastic integrals

93 cited

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2004STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q ‐OPTIMAL MEASURE83 cited
2005A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets79 cited
2012Mean-variance hedging via stochastic control and BSDEs for general semimartingales64 cited
2004An extension of mean-variance hedging to the discontinuous case52 cited
2008MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION48 cited
2003A semimartingale BSDE related to the minimal entropy martingale measure45 cited
2006MINIMAL VARIANCE HEDGING FOR INSIDER TRADING40 cited
2002Analytical Comparisons of Option prices in Stochastic Volatility Models40 cited
2010Mean–Variance Hedging40 cited
2005A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation39 cited
2009LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS34 cited
2007Quadratic Hedging Methods for Defaultable Claims32 cited
2005An entropy approach to the Stein and Stein model with correlation31 cited
2013BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS27 cited