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Discrete time hedging of OTC options in a GARCH environment : a simulation experiment

Gustaf E. Hagerud
Year of publication:
1997
Authors: Hagerud, Gustaf E.
Institutions: Ekonomiska forskningsinstitutet <Stockholm> (contributor)
Publisher: Stockholm : Stockholm School of Economics, the Economic Research Inst.
Subject: Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Theorie | Theory
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In German libraries (KVK)
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