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Applied Mathematical Finance Volume 18, 2011 - Issue 1
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Variance-Optimal Hedging for Time-Changed Lévy Processes

Jan Kallsen Mathematisches Seminar, Christian-Albrechts-Universität zu Kiel, 24098, Kiel, GermanyCorrespondence[email protected]
&
Arnd Pauwels MEAG AssetManagement GmbH, Abteilung Risikocontrolling, 80333, München, Germany
Pages 1-28 | Received 19 May 2009, Published online: 13 Sep 2010

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Akira Yamazaki. (2018) A dynamic equilibrium model for U-shaped pricing kernels. Quantitative Finance 18:5, pages 851-875.
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Ioannis Kyriakou, Panos K. Pouliasis & Nikos C. Papapostolou. (2016) Jumps and stochastic volatility in crude oil prices and advances in average option pricing. Quantitative Finance 16:12, pages 1859-1873.
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Yuji Umezawa & Akira Yamazaki. (2015) Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes. Applied Mathematical Finance 22:2, pages 133-161.
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P. Leoni, N. Vandaele & M. Vanmaele. (2014) Hedging strategies for energy derivatives. Quantitative Finance 14:10, pages 1725-1737.
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Stéphane Goutte, Nadia Oudjane & Francesco Russo. (2013) On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process. Stochastic Analysis and Applications 31:1, pages 108-141.
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Articles from other publishers (8)

Ernst Eberlein & Jan KallsenErnst Eberlein & Jan Kallsen. 2019. Mathematical Finance. Mathematical Finance 595 615 .
Xiao-li Gong & Xin-tian Zhuang. (2016) Option pricing and hedging for optimized Lévy driven stochastic volatility models. Chaos, Solitons & Fractals 91, pages 118-127.
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Chenxi Liang & Shenghong Li. (2016) Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect. Journal of Mathematical Analysis and Applications 438:2, pages 1010-1029.
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Chenxi Liang & Shenghong Li. (2015) Option pricing and hedging in incomplete market driven by Normal Tempered Stable process with stochastic volatility. Journal of Mathematical Analysis and Applications 423:1, pages 701-719.
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Giulia Di Nunno & Steffen Sjursen. (2014) BSDEs driven by time-changed Lévy noises and optimal control. Stochastic Processes and their Applications 124:4, pages 1679-1709.
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Akira Yamazaki. (2013) Pricing average options under time-changed Lévy processes. Review of Derivatives Research 17:1, pages 79-111.
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Yuji Umezawa & Akira Yamazaki. (2012) Pricing Path-Dependent Options with Discrete Monitoring Under Time-Changed Levy Processes. SSRN Electronic Journal.
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Akira Yamazaki. (2011) Pricing Average Options Under Time-Changed Levy Processes. SSRN Electronic Journal.
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