Mean‐Variance Hedging for Stochastic Volatility Models

By Francesca Biagini, Paolo Guasoni, Maurizio Pratelli. 2000

77 citations recorded by the source corpus.

Subfields: Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/f20d00b93683cf4ff53fb7f9ca272dbb44125bb2

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In Finance

1. Vicky Henderson
2. Michael Monoyios
3. David Hobson *
4. M. Sîrbu
5. Dmitry O. Kramkov
6. Thaleia Zariphopoulou
7. Marek Musiela

In Modeling and Simulation

1. Vicky Henderson

Citations in the corpus

• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS (2005, methodology): “Since stochastic volatility models are incomplete, the direction in mathematical finance has been to use various measures for pricing, see Biagini et al [2], Grandits and Rheinländer [9], Laurent and Pham [17], Heath et al [10], Pham et al [18] in the zero correlation framework and Rheinländer [19”
• On the Structure of General Mean-Variance Hedging Strategies (2007, unknown): “It is tackled in a number of diffusion or jump-diffusion settings, for example, by Laurent and Pham [30], Biagini, Guasoni and Pratelli [6], Biagini and Guasoni [5], Hobson [24].”