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Quadratic hedging in affine stochastic volatility models · Study

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ArticleQuadratic hedging in affine stochastic volatility models

Jan Kallsen2009

OA

Articlegreen2009

Quadratic hedging in affine stochastic volatility models

Jan Kallsen · Richard Vierthauer

26 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2003Financial Modelling with Jump Processes 2003Limit Theorems for Stochastic Processes 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2003Affine processes and applications in finance 2003Stochastic Volatility for Lévy Processes 2010A Guided Tour through Quadratic Hedging Approaches 2004Financial Modelling with Jump Processes

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Year2009

Typearticle

Published2009-04-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11147-009-9034-5

openalex_workW2094047149

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