Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1997
Recently, Duan (1995) proposed a GARCH option pricing formula and a corresponding hedging formula. In a similar ARCH-type model for the underlying asset, Kallsen and Taqqu (1994) arrive at a hedging formula different from Duan's , although they concur on the pricing formula. In this note, we...
