2 papers
math.PR2017
Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
Paolo Di Tella, Martin Haubold, Martin Keller-Ressel
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…
q-fin.MF2017
Semi-Static and Sparse Variance-Optimal Hedging
Paolo Di Tella, Martin Haubold, Martin Keller-Ressel
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give gener…