Hedging barrier options in GARCH models with transaction costs

DOI10.1111/ANZS.12120zbMATH Open1335.91115OpenAlexW2140872964MaRDI QIDQ2802880FDOQ2802880

Chan-Yi Tsai, Shih-Feng Huang

Publication date: 27 April 2016

Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12120

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zbMATH Keywords

first passage timestatic hedgingcalendar-spreadstrike-spread

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Option Pricing in ARCH-type Models
• THE GARCH OPTION PRICING MODEL
• Empirical martingale simulation for asset prices
• American option pricing under GARCH by a Markov chain approximation
• Empirical performance of models for barrier option valuation
• Put-call symmetry: extensions and applications
• Asymptotic distribution of the EPMS estimator for financial derivatives pricing
• Static versus dynamic hedges: an empirical comparison for barrier options
• A Modified Empirical Martingale Simulation for Financial Derivative Pricing
• Financial derivative valuation -- A dynamic semiparametric approach

Cited In (1)

• Hedging entry and exit decisions: Activating and deactivating barrier options

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