Discrete-time variance-optimal hedging in affine stochastic volatility models
Jan Kallsen, Johannes Muhle-Karbe, Natalia Shenkman and Richard Vierthauer
| Year of publication: |
2010
|
|---|---|
| Authors: | Kallsen, Jan ; Muhle-Karbe, Johannes ; Shenkman, Natalia ; Vierthauer, Richard |
| Published in: |
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk. - New Jersey [u.a.] : World Scientific, ISBN 981-4280-10-0. - 2010, p. 375-393
|
| Subject: | Hedging | Volatilität | Volatility | Entscheidung unter Unsicherheit | Decision under uncertainty | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | Graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008655196