Hedging barrier options in GARCH models with transaction costs

DOI10.1111/ANZS.12120MaRDI QIDQ2802880zbMATH OpenOpenAlexFDO

Authors Shih-Feng Huang, Chan-Yi Tsai

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

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)

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Cites work

• scientific article; zbMATH DE number 3131829 (Why is no real title available?)
• scientific article; zbMATH DE number 3240629 (Why is no real title available?)
• A modified empirical martingale simulation for financial derivative pricing
• American option pricing under GARCH by a Markov chain approximation
• Asymptotic distribution of the EPMS estimator for financial derivatives pricing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
• Empirical martingale simulation for asset prices
• Empirical performance of models for barrier option valuation
• Financial derivative valuation -- A dynamic semiparametric approach
• Generalized autoregressive conditional heteroscedasticity
• Option Pricing in ARCH-type Models
• Put-call symmetry: extensions and applications
• Static versus dynamic hedges: an empirical comparison for barrier options
• THE GARCH OPTION PRICING MODEL

Cited in

(1)

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

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