Abstract
Abstract In this article, we solve the variance-optimal hedging problem in stochastic volatility (SV) models based on time-changed Lévy processes, that is, in the setup of Carr et al. (2003). The solution is derived using results for general affine models in the companion article [Kallsen and Pauwels (2009)].
Abstract In this article, we solve the variance-optimal hedging problem in stochastic volatility (SV) models based on time-changed Lévy processes, that is, in the setup of Carr et al. (2003). The solution is derived using results for general affine models in the companion article [Kallsen and Pauwels (2009)].
Applied Mathematical Finance – Taylor & Francis
Published: Feb 17, 2011
Keywords: Variance-optimal hedging; Stochastic volatility; Time-changed Lévy process; Laplace transform
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