A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Ma...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Heath, David [verfasserIn] Platen, Eckhard [verfasserIn] Schweizer, Martin [verfasserIn] |
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| Format: |
E-Artikel |
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| Erschienen: |
Boston, USA and Oxford, UK: Blackwell Publishers Inc ; 2001 |
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| Schlagwörter: |
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| Umfang: |
Online-Ressource |
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| Reproduktion: |
2001 ; Blackwell Publishing Journal Backfiles 1879-2005 |
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| Übergeordnetes Werk: |
In: Mathematical finance - Oxford [u.a.] : Wiley-Blackwell, 1991, 11(2001), 4, Seite 0 |
| Übergeordnetes Werk: |
volume:11 ; year:2001 ; number:4 ; pages:0 |
| Links: |
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| DOI / URN: |
10.1111/1467-9965.00122 |
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NLEJ243593384 |
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| 520 | |a This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. | ||
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10.1111/1467-9965.00122 doi (DE-627)NLEJ243593384 DE-627 ger DE-627 rakwb Heath, David verfasserin aut A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets Boston, USA and Oxford, UK Blackwell Publishers Inc 2001 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. 2001 Blackwell Publishing Journal Backfiles 1879-2005 |2001|||||||||| incomplete markets Platen, Eckhard verfasserin aut Schweizer, Martin verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 11(2001), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:11 year:2001 number:4 pages:0 http://dx.doi.org/10.1111/1467-9965.00122 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 11 2001 4 0 |
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10.1111/1467-9965.00122 doi (DE-627)NLEJ243593384 DE-627 ger DE-627 rakwb Heath, David verfasserin aut A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets Boston, USA and Oxford, UK Blackwell Publishers Inc 2001 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. 2001 Blackwell Publishing Journal Backfiles 1879-2005 |2001|||||||||| incomplete markets Platen, Eckhard verfasserin aut Schweizer, Martin verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 11(2001), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:11 year:2001 number:4 pages:0 http://dx.doi.org/10.1111/1467-9965.00122 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 11 2001 4 0 |
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10.1111/1467-9965.00122 doi (DE-627)NLEJ243593384 DE-627 ger DE-627 rakwb Heath, David verfasserin aut A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets Boston, USA and Oxford, UK Blackwell Publishers Inc 2001 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. 2001 Blackwell Publishing Journal Backfiles 1879-2005 |2001|||||||||| incomplete markets Platen, Eckhard verfasserin aut Schweizer, Martin verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 11(2001), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:11 year:2001 number:4 pages:0 http://dx.doi.org/10.1111/1467-9965.00122 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 11 2001 4 0 |
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10.1111/1467-9965.00122 doi (DE-627)NLEJ243593384 DE-627 ger DE-627 rakwb Heath, David verfasserin aut A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets Boston, USA and Oxford, UK Blackwell Publishers Inc 2001 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. 2001 Blackwell Publishing Journal Backfiles 1879-2005 |2001|||||||||| incomplete markets Platen, Eckhard verfasserin aut Schweizer, Martin verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 11(2001), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:11 year:2001 number:4 pages:0 http://dx.doi.org/10.1111/1467-9965.00122 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 11 2001 4 0 |
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10.1111/1467-9965.00122 doi (DE-627)NLEJ243593384 DE-627 ger DE-627 rakwb Heath, David verfasserin aut A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets Boston, USA and Oxford, UK Blackwell Publishers Inc 2001 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. 2001 Blackwell Publishing Journal Backfiles 1879-2005 |2001|||||||||| incomplete markets Platen, Eckhard verfasserin aut Schweizer, Martin verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 11(2001), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:11 year:2001 number:4 pages:0 http://dx.doi.org/10.1111/1467-9965.00122 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 11 2001 4 0 |
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A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets |
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This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. |
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This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. |
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This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory. |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">NLEJ243593384</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20210707183158.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">120427s2001 xx |||||o 00| ||und c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1111/1467-9965.00122</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)NLEJ243593384</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Heath, David</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Boston, USA and Oxford, UK</subfield><subfield code="b">Blackwell Publishers Inc</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zzz</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">z</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zu</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain the theory for both hedging approaches in a general framework, specialize to a Markovian situation, and analyze in detail variants of the well-known Heston (1993) and Stein and Stein (1991) stochastic volatility models. Numerical results are obtained mainly by PDE and simulation methods. In addition, we take special care to check that all of our examples do satisfy the conditions required by the general theory.</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="d">2001</subfield><subfield code="f">Blackwell Publishing Journal Backfiles 1879-2005</subfield><subfield code="7">|2001||||||||||</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">incomplete markets</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Platen, Eckhard</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Schweizer, Martin</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">In</subfield><subfield code="t">Mathematical finance</subfield><subfield code="d">Oxford [u.a.] : Wiley-Blackwell, 1991</subfield><subfield code="g">11(2001), 4, Seite 0</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)NLEJ243926227</subfield><subfield code="w">(DE-600)1481288-5</subfield><subfield code="x">1467-9965</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:11</subfield><subfield code="g">year:2001</subfield><subfield code="g">number:4</subfield><subfield code="g">pages:0</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://dx.doi.org/10.1111/1467-9965.00122</subfield><subfield code="q">text/html</subfield><subfield code="x">Verlag</subfield><subfield code="z">Deutschlandweit zugänglich</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-DJB</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_NL_ARTICLE</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">11</subfield><subfield code="j">2001</subfield><subfield code="e">4</subfield><subfield code="h">0</subfield></datafield></record></collection>
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