Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10009272652
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
Persistent link: https://www.econbiz.de/10010426624
Persistent link: https://www.econbiz.de/10011657622