GARCH options via local risk minimization

DOI10.1080/14697688.2010.494164zbMath1279.91163arXiv0904.1078OpenAlexW3122100919MaRDI QIDQ2873537

Juan-Pablo Ortega

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1078

zbMATH Keywords

incomplete marketsGARCH modelshedging techniquesmethodology of optimal hedging

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ Quadratic hedging schemes for non-Gaussian GARCH models ⋮ A profitable modification to global quadratic hedging ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ Lattice-based hedging schemes under GARCH models

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• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Option pricing when underlying stock returns are discontinuous

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