Variance-Optimal Hedging for Time-Changed Levy Processes
AbstractIn this article, we solve the variance-optimal hedging problem in stochastic volatility (SV) models based on time-changed Levy processes, that is, in the setup of Carr et al. (2003). The solution is derived using results for general affine models in the companion article [Kallsen and Pauwels (2009)].
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 18 (2011)
Issue (Month): 1 ()
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- Di Nunno, Giulia & Sjursen, Steffen, 2014. "BSDEs driven by time-changed Lévy noises and optimal control," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1679-1709.
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