๐”– Bobbio Scriptorium
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Mean-Variance Hedging for Stochastic Volatility Models

โœ Scribed by Francesca Biagini; Paolo Guasoni; Maurizio Pratelli


Book ID
108550457
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
255 KB
Volume
10
Category
Article
ISSN
0960-1627

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A new scheme for static hedging of Europ
โœ Akihiko Takahashi; Akira Yamazaki ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 138 KB ๐Ÿ‘ 1 views

## Abstract This study proposes a new scheme for static hedging of European pathโ€independent derivatives under stochastic volatility models. First, we show that pricing European pathโ€independent derivatives under stochastic volatility models is transformed to pricing those under oneโ€factor local vo