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Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10005858246
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Weak Convergence of Hedging Strategies of Contingent Claims
Prigent, Jean-Luc; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets … trading strategy, when perfect hedging of contingent claims is infeasible, is robust under weak convergence. Several …
Persistent link: https://www.econbiz.de/10005859330