MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION

By Ales Cerný, Jan Kallsen. 2008

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e7c5631761cc4ab68ffb88d78a58e7c7a6cdac6f

Citations in the corpus

• On the Structure of General Mean-Variance Hedging Strategies (2007, unknown): “In [11] and ongoing research, L is determined explicitly by an ansatz of the above type in specific stochastic volatility models.”
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, unknown): “…+ ∫ (eux 2 − 1)K L(dx) ) , with initial condition 1(0, u) = 0 and 0(t, u) = η ∫ t 0 1(s, u) ds. Disregarding the trivial cases where λ = 0, σ = 0, or L is deterministic (Černý and Kallsen 2008, lemma A.1), straightforward calculations show 1(t, u) = 2g(u)(e f (u)t − 1) f (u) − λ + e f (u)t( f…”