Discrete-time variance-optimal hedging in affine stochastic volatility models

We consider variance-optimal hedging when trading is restricted to a finite time set. Using Laplace transform methods, we derive semi-explicit formulas for the variance-optimal initial capital and hedging strategy in affine stochastic volatility models. For the corresponding minimal expected squared hedging error, we propose a closed-form approximation as well as a simulation approach. The results are illustrated by comput-ing the relevant quantities in a time-changed Lévy model