Quadratic hedging schemes for non-Gaussian GARCH models
From MaRDI portal
Publication:1994523
DOI10.1016/j.jedc.2014.03.001zbMath1402.91751arXiv1209.5976OpenAlexW3121943118MaRDI QIDQ1994523
Robert J. Elliott, Juan-Pablo Ortega, Alexandru M. Badescu
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.5976
martingale measureGARCH modelslocal risk minimizationbivariate diffusion limitminimum variance hedge
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)
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