This paper solves the mean{variance hedging problem in Heston's model with a stochastic opportunity set moving systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so-called leverage effect).\ud\udOur contribution is threefold: using a new concept of opportunity-neutral measure we present a simplified strategy for computing a candidate solution in the correlated case. We then go on to show that this candidate generates the true variance-optimal martingale measure; this step seems to be partially missing in the literature. Finally, we derive formulas for the hedging strategy and the hedging error.
展开▼
机译：本文解决了Heston模型中的均值方差套期保值问题，其随机机会集随着股票收益率的波动而系统地移动。我们允许股票收益率与其波动率之间存在相关性（所谓的杠杆效应）。\ ud \ ud我们的贡献是三方面的：使用机会中立度量的新概念，我们提供了一种简化的策略，用于在相关情况下计算候选解决方案。然后，我们继续证明该候选者生成了真正的方差最优mar测度；此步骤似乎在文献中部分缺失。最后，我们得出了套期策略和套期误差的公式。
展开▼
