Quadratic hedging schemes for non-Gaussian GARCH models
Alexandru Badescu; Robert J. Elliott; Juan-Pablo Ortega
| Year of publication: |
2014
|
|---|---|
| Authors: | Badescu, Alexandru ; Elliott, Robert J. ; Ortega, Juan-Pablo |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 42.2014, p. 13-32
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| Subject: | GARCH models | Local risk minimization | Martingale measure | Bivariate diffusion limit | Minimum variance hedge | ARCH-Modell | ARCH model | Hedging | Martingal | Martingale | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010426624