On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
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DOI: 10.1080/14697688.2012.691987
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References listed on IDEAS
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Cited by:
- Chen, Jilong & Ewald, Christian-Oliver, 2017. "Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 144-151.
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