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"Semi-static variance-optimal hedging in stochastic volatility models with ..."

Paolo Di Tella, Martin Haubold, Martin Keller-Ressel (2019)

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DOI: 10.1017/JPR.2019.41

access: closed

type: Journal Article

metadata version: 2020-04-16

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Paolo Di Tella, Martin Haubold, Martin Keller-Ressel:
Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation. J. Appl. Probab. 56(3): 787-809 (2019)

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