Semi-Static and Sparse Variance-Optimal Hedging
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- Paolo Di Tella & Martin Haubold & Martin Keller-Ressel, 2017. "Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation," Papers 1709.05527, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2017-09-24 (Risk Management)
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