Mean-variance hedging and optimal investment in Heston's model with correlation
Year of publication: |
2008
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Authors: | Černý, Aleš ; Kallsen, Jan |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 18.2008, 3, p. 473-492
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Subject: | Hedging | Volatilität | Volatility | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | Theorie | Theory |
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