Lattice-based hedging schemes under GARCH models
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Publication:5014202
DOI10.1080/14697688.2020.1865559zbMATH Open1484.91467OpenAlexW3129447669MaRDI QIDQ5014202FDOQ5014202
Authors: Maciej Augustyniak, Zhiyu Guo, Alexandru Badescu 
Publication date: 1 December 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1865559
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- A guided tour through quadratic hedging approaches
- Optimal hedging in discrete time
- Stochastic finance. An introduction in discrete time
- Option hedging for semimartingales
- THE GARCH OPTION PRICING MODEL
- Option valuation with conditional skewness
- Option Pricing Under GARCH Processes Using PDE Methods
- Variance-Optimal Hedging in Discrete Time
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- Volatility components, affine restrictions, and nonnormal innovations
- American option pricing under GARCH by a Markov chain approximation
- Local risk-minimization under transaction costs
- A lattice model for option pricing under GARCH-jump processes
- On accurate and provably efficient GARCH option pricing algorithms
- Quadratic hedging schemes for non-Gaussian GARCH models
- A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
- GARCH options via local risk minimization
- Dynamic programming and hedging strategies in discrete time
- American option pricing under GARCH with non-normal innovations
- Dynamic programming approach for valuing options in the GARCH model
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