IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v10y2007i05ns0219024907004433.html
   My bibliography  Save this article

Quadratic Hedging For The Bates Model

Author

Listed:
  • FRIEDRICH HUBALEK

    (Department of Mathematical Sciences, University of Aarhus, Denmark)

  • CARLO SGARRA

    (Department of Mathematics, Politecnico di Milano, Italy)

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.

Suggested Citation

  • Friedrich Hubalek & Carlo Sgarra, 2007. "Quadratic Hedging For The Bates Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 873-885.
    • Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:05:n:s0219024907004433
    DOI: 10.1142/S0219024907004433
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024907004433
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024907004433?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kallsen Jan & Muhle-Karbe Johannes, 2011. "Method of moment estimation in time-changed Lévy models," Statistics & Risk Modeling, De Gruyter, vol. 28(2), pages 169-194, May.
    2. Jan Kallsen & Arnd Pauwels, 2011. "Variance-Optimal Hedging for Time-Changed Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(1), pages 1-28.
    3. Edie Miglio & Carlo Sgarra, 2008. "A Finite Element Framework for Option Pricing with the Bates Model," Papers 0812.3083, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:10:y:2007:i:05:n:s0219024907004433. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.