Lattice-based hedging schemes under GARCH models

DOI10.1080/14697688.2020.1865559MaRDI QIDQ5014202zbMATH OpenOpenAlexFDO

Authors Maciej Augustyniak, Zhiyu Guo, Alexandru Badescu

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1865559

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A guided tour through quadratic hedging approaches
• A lattice model for option pricing under GARCH-jump processes
• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
• American option pricing under GARCH by a Markov chain approximation
• American option pricing under GARCH with non-normal innovations
• Dynamic programming and hedging strategies in discrete time
• Dynamic programming approach for valuing options in the GARCH model
• GARCH options via local risk minimization
• Local risk-minimization under transaction costs
• On accurate and provably efficient GARCH option pricing algorithms
• Optimal hedging in discrete time
• Option hedging for semimartingales
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Option Pricing Under GARCH Processes Using PDE Methods
• Option valuation with conditional skewness
• Quadratic hedging schemes for non-Gaussian GARCH models
• Stochastic finance. An introduction in discrete time
• THE GARCH OPTION PRICING MODEL
• Variance-Optimal Hedging in Discrete Time
• Volatility components, affine restrictions, and nonnormal innovations

Cited in

(4)

• Optimal dynamic hedging via copula-threshold-GARCH models
• Quadratic hedging schemes for non-Gaussian GARCH models
• GARCH options via local risk minimization
• A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models

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