Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio - In: Mathematical Finance 10 (2000) 2, pp. 109-123
In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doléans exponentials; explicit examples include both models...