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- W4300900821 abstract "In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula for the expected squared hedging error and the optimal hedging strategy, we use a Fourier approach in a general multidimensional semimartingale factor model. As a special case, we recover existing results for variance-optimal hedging in affine stochastic volatility models. We apply the theory to set up a variance-optimal semi-static hedging strategy for a variance swap in both the Heston and the 3/2-model, the latter of which is a non-affine stochastic volatility model." @default.
- W4300900821 created "2022-10-04" @default.
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- W4300900821 date "2017-09-16" @default.
- W4300900821 modified "2023-10-06" @default.
- W4300900821 title "Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation" @default.
- W4300900821 doi "https://doi.org/10.48550/arxiv.1709.05527" @default.
- W4300900821 hasPublicationYear "2017" @default.
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