Hedging of time discrete auto-regressive stochastic volatility options
Alexandru Badescu, Joan del Castillo and Juan-Pablo Ortega
| Year of publication: |
December 2016
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|---|---|
| Authors: | Badescu, Alexandru ; Castillo, Joan del ; Ortega, Juan-Pablo |
| Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 271-306
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| Subject: | Stochastic Volatility Models | ARSV Models | Hedging Techniques | Incomplete Markets | Local Risk Minimization | Kalman Filter | Hierarchical-Likelihood | Hedging | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Unvollkommener Markt | Incomplete market | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in französischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011592752