A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models
Junmei Ma, Chen Wang, Wei Xu
| Year of publication: |
2025
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|---|---|
| Authors: | Ma, Junmei ; Wang, Chen ; Xu, Wei |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 321.2025, 3 (16.3.), p. 1021-1035
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| Subject: | Affine GARCH | Global risk-minimization | Local risk-minimization | Mean-variance hedging | Non-affine GARCH | Willow tree | Hedging | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2024.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015409961