English, Article edition: QUADRATIC HEDGING FOR THE BATES MODEL FRIEDRICH HUBALEK; CARLO SGARRA

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Physical Description
  • article
Language
  • English

Edition details

Title
  • QUADRATIC HEDGING FOR THE BATES MODEL
Author
  • FRIEDRICH HUBALEK
  • CARLO SGARRA
Physical Description
  • article
Notes
  • 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.
  • Quadratic hedging, Bates model, stochastic volatility models with jumps, financial modeling with jumps, Lévy processes, incomplete markets
  • RePEc:wsi:ijtafx:v:10:y:2007:i:05:p:873-885
Language
  • English
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