Indifference pricing and hedging for volatility derivatives

Applied Mathematical Finance

Volumn 14, Issue 4, 2007, Pages 303-317

  Grasselli, M R ^a   Hurd, T R ^a  

^a MCMASTER UNIVERSITY   (Canada)

Author keywords

Certainty equivalent; Exponential utility; Heston model; Incomplete markets; Variance swap; Volatility derivative; Volatility risk

Indexed keywords

EID: 34547507347     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13527260600963851     Document Type: Article

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