Josselin Garnier, Knut Sølna. Optimal Hedging Under Fast-Varying Stochastic Volatility. SIAM J. Financial Math., 11(1):274-325, 2020. [doi]
@article{GarnierS20,
title = {Optimal Hedging Under Fast-Varying Stochastic Volatility},
author = {Josselin Garnier and Knut Sølna},
year = {2020},
doi = {10.1137/18M1221655},
url = {https://doi.org/10.1137/18M1221655},
researchr = {https://researchr.org/publication/GarnierS20},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {11},
number = {1},
pages = {274-325},
}