A discrete-time hedging framework with multiple factors and fat tails : on what matters
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin
| Year of publication: |
2023
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|---|---|
| Authors: | Augustyniak, Maciej ; Badescu, Alexandru ; Bégin, Jean-François |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 416-444
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| Subject: | Option hedging | Risk-minimization | Affine models | Multi-component volatility | Exponential-affine pricing kernels | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | CAPM | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339997