Effect of Variance Swap in Hedging Volatility Risk
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market is complete and contains three primitive asse...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-07-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/3/70 |