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  • Search: subject:"bivariate diffusion limit"
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Year of publication
Subject
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ARCH model 3 ARCH-Modell 3 Bivariate diffusion limit 3 Estimation theory 3 Option pricing theory 3 Optionspreistheorie 3 Schätztheorie 3 Stochastic process 3 Stochastischer Prozess 3 Volatility 3 Volatilität 3 GARCH models 2 Innovation diffusion 2 Innovationsdiffusion 2 Local risk minimization 2 Martingale measure 2 Minimum variance hedge 2 Conditional Esscher transform 1 Extended Girsanov principle 1 Finance 1 Hedging 1 Martingal 1 Martingale 1 Non-Gaussian GARCH models 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Time series analysis 1 Zeitreihenanalyse 1 bivariate diffusion limit 1 exponential linear variance-dependent pricing kernel 1 non-Gaussian innovations 1 non-affine GARCH models 1 option pricing 1
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Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 1
Author
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Badescu, Alexandru 4 Ortega, Juan-Pablo 4 Elliott, Robert J. 3 Cui, Zhenyu 1
Published in...
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European journal of operational research : EJOR 1 Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1
Source
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ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
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Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
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Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
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Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of Economic Dynamics and Control 42 (2014) C, pp. 13-32
We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan׳s (1995) delta...
Persistent link: https://www.econbiz.de/10011051965
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Cover Image
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
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