A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

DOI10.1111/1467-9965.00049zbMath0914.90021OpenAlexW1971394148MaRDI QIDQ4213037

Eric Renault, René Garcia

Publication date: 7 October 1998

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

Full work available at URL: https://cirano.qc.ca/files/publications/97s-13.pdf

zbMATH Keywords

stochastic volatilityoption pricingARCH-type modelBlack-ScholesGARCH option pricinghedging formula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

The leverage effect puzzle revisited: identification in discrete time ⋮ Calibration of GARCH models using concurrent accelerated random search ⋮ Optimal hedging in discrete time ⋮ Quadratic hedging schemes for non-Gaussian GARCH models ⋮ Non‐trading day effects in asymmetric conditional and stochastic volatility models ⋮ Option price decomposition in spot-dependent volatility models and some applications ⋮ Lattice-based hedging schemes under GARCH models ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints ⋮ GARCH options via local risk minimization

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