QUADRATIC HEDGING FOR THE BATES MODEL

Friedrich Hubalek () and Carlo Sgarra ()
Additional contact information
Friedrich Hubalek: Department of Mathematical Sciences, University of Aarhus, Denmark
Carlo Sgarra: Department of Mathematics, Politecnico di Milano, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 05, 873-885

Abstract: 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.

Keywords: Quadratic hedging; Bates model; stochastic volatility models with jumps; financial modeling with jumps; Lévy processes; incomplete markets (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024907004433
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:10:y:2007:i:05:n:s0219024907004433

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024907004433

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().