Mean-variance hedging with random volatility jumps

Stochastic Analysis and Applications

Volumn 20, Issue 3, 2002, Pages 471-494

  Biagini, Francesca ^a   Guasoni, Paolo ^a  

^a UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

Change of num raire; Hedging in incomplete markets; Mean variance optimal measure; Stochastic volatility models

Indexed keywords

EID: 0036020759     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-120004112     Document Type: Article

References (24)

1. Mean-variance hedging for stochastic volatility models
2. Local risk minimization and numéraire
3. The variance-optimal martingale measure for continuous processes
4. Mean-variance hedging in continuous time
5. Hedging of contingent claims under incomplete information
6. Hedging of non-redundant contingent claims
7. Changes of numéraire, changes of probability measures and option pricing
8. Mean-variance hedging and numéraire
9. A closed-form solution for options with stochastic volatility with applications to bond and currency option
10. The pricing of options on assets with stochastic volatility
11. Dynamic programming and mean-variance hedging
12. Föllmer-schweizer decomposition and mean-variance hedging of general claim
13. Mean-variance hedging for continuous processes: New proofs and examples
14. 2-projections on a space of stochastic integrals
15. On quadratic cost criteria for option hedging
16. Option hedging for semimartingales
17. Mean-variance hedging for general claims
18. Risk-minimizing hedging strategies under restricted information
19. Approximation pricing and the variance-optimal martingale measure
20. Stock price distribution with stochastic volatility: An analytic approach
21. An improved methodology for measuring VaR