Partial hedging in a stochastic volatility environment

Keyphrases

• Partial Hedging 100%
• Bellman Equation 50%
• Long-term Volatility 50%
• Singular Perturbation Analysis 50%
• Stochastic Volatility Model 50%
• Implied Volatility Skew 50%
• Legendre Transform 50%
• Historical Volatility 50%
• Mean-reverting 50%
• State-dependent Utility 50%
• Hedging Strategy 50%
• Classical Economics 50%
• Leverage Effect 50%
• Volatility 50%
• Dual Problem 50%
• Optimal Strategy 50%
• Approximate Value Function 50%
• Value Strategies 50%

Mathematics

• Singular Perturbations 50%
• Dual Problem 50%
• Optimal Strategy 50%
• Bellman Equation 50%
• Hedging Strategy 50%
• Leverage Effect 50%
• Legendre Transform 50%