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Some remarks on mean-variance...
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Optionsgeschäft
Option pricing theory
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Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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Malliavin calculus
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Mean-variance hedging
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fast Fourier transform
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Derivat
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Option trading
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Risiko
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fundamental theorem of asset pricing
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good deal bound
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local risk-minimization
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q-optimal martingale measure
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stochastic volatility models
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variance-optimal martingale measure
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Arai, Takuji
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Suzuki, Ryoichi
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International journal of financial engineering
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
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2
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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