Kallsen, Jan; Vierthauer, Richard - In: Review of derivatives research 12 (2009) 1, pp. 3-27
We determine the variance-optimal hedge for a subset of affine processes including a number of popular stochastic volatility models. This framework does not require the asset to be a martingale. We obtain semiexplicit formulas for the optimal hedging strategy and the minimal hedging error by...
