Comparison of Some Key Approaches to Hedging in Incomplete Markets

David Heath, Eckhard Platen (eckhard.platen@uts.edu.au) and M. Schweizer

No 1, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The paper provides a numerical comparison of local risk minimisation and mean-variance hedging for some key variations of stochastic volatility models. A hedging and pricing framework is established for both approaches. Important quantitative differences become apparent that have implications for the implementation of hedging strategies under stochastic volatility.

Date: 1998-12-01
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:uts:rpaper:1

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford (duncan.ford@uts.edu.au).