GARCH options via local risk minimization (Q2873537)

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GARCH options via local risk minimization
scientific article

    Statements

    title
    GARCH options via local risk minimization (English)
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    author
    Juan-Pablo Ortega
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    publication date
    24 January 2014
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    zbMATH Keywords
    GARCH models
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    hedging techniques
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    methodology of optimal hedging
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    incomplete markets
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G70
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    62M10
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    zbMATH DE Number
    6250078
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    OpenAlex ID
    W3122100919
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    arXiv ID
    0904.1078
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