Browsing by Author "Schweizer, M."

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Browsing by Author "Schweizer, M."

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  • Platen, E.; Heath, D. P; Schweizer, M. (Blackwell Publishing, 2006)
    This paper provides comparative theoretical and numerical results on risks, values, and hedging strategies for local risk-minimization versus mean-variance hedging in a class of stochastic volatility models. We explain ...