Electronic Resource
Boston, USA and Oxford, UK
:
Blackwell Publishers Inc
Mathematical finance
10 (2000), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doléans exponentials; explicit examples include both models where volatility solves a diffusion equation and models where it follows a jump process. We further discuss the closedness of the space of strategies.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.00084
Permalink
|
Location |
Call Number |
Expected |
Availability |