QUADRATIC HEDGING FOR THE BATES MODEL

被引：3

作者：

Hubalek, Friedrich ^{[1
]}

Sgarra, Carlo ^{[2
]}

机构：

[1] Univ Aarhus, Dept Math Sci, Aarhus, Denmark

[2] Politecn Milan, Dept Math, Milan, Italy

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2007年 / 10卷 / 05期

关键词：

Quadratic hedging; Bates model; stochastic volatility models with jumps; financial modeling with jumps; Levy processes; incomplete markets;

D O I：

10.1142/S0219024907004433

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the present paper we give some preliminary results for option pricing and hedging in the framework of the Bates model based on quadratic risk minimization. We provide an explicit expression of the mean-variance hedging strategy in the martingale case and study the Minimal Martingale measure in the general case.

引用

收藏

页码：873 / 885

页数：13

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