MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
解决了赫斯顿模型中考虑股票收益与波动率相关性的均值-方差对冲问题，提出了机会中性测度概念，推导了对冲策略和误差公式。
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). Our 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.