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Stochastic Analysis and Applications Volume 20, 2002 - Issue 3
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Original Articles

Mean–variance hedging with random volatility jumps

Francesca BiaginiCorrespondence[email protected]
&
Paolo Guasoni1 Research Department, Bank of Italy, via Nazionale 91, Roma, 00184, Italy
Pages 471-494 | Published online: 15 Feb 2007

Citations (8)

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Stoyan V. Stoyanov, Svetlozar T. Rachev, Abootaleb Shirvani & Frank J. Fabozzi. (2022) Option pricing in an investment risk-return setting. Applied Economics 54:14, pages 1625-1638.
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Articles from other publishers (7)

V. N. Nikulin. (2017) Discrete Hedging in the Mean/Variance Model for European Call Options. Journal of Mathematical Sciences 227:2, pages 229-240.
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Anastasiya Sergeevna Odintsova & Vladimir Nikolaevich Nikulin. (2014) Statistically fair price for the European call options according to the discreet mean/variance model. Computer Research and Modeling 6:5, pages 861-874.
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Areski Cousin, Stéphane Crépey, Olivier Guéant, David Hobson, Monique Jeanblanc, Jean-Michel Lasry, Jean-Paul Laurent, Pierre-Louis Lions & Peter TankovPeter Tankov. 2011. Paris-Princeton Lectures on Mathematical Finance 2010. Paris-Princeton Lectures on Mathematical Finance 2010 319 359 .
Francesca Biagini & Alessandra Cretarola. (2007) Quadratic Hedging Methods for Defaultable Claims. Applied Mathematics and Optimization 56:3, pages 425-443.
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FRIEDRICH HUBALEK & CARLO SGARRA. (2012) QUADRATIC HEDGING FOR THE BATES MODEL. International Journal of Theoretical and Applied Finance 10:05, pages 873-885.
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Aleš Černý & Jan Kallsen. (2007) On the structure of general mean-variance hedging strategies. The Annals of Probability 35:4.
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Ales Cerny & Jan Kallsen. (2005) On the Structure of General Mean-Variance Hedging Strategies. SSRN Electronic Journal.
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