Lattice-based hedging schemes under GARCH models
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Publication:5014202
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Cites work
- A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
- A guided tour through quadratic hedging approaches
- A lattice model for option pricing under GARCH-jump processes
- American option pricing under GARCH by a Markov chain approximation
- American option pricing under GARCH with non-normal innovations
- Dynamic programming and hedging strategies in discrete time
- Dynamic programming approach for valuing options in the GARCH model
- GARCH options via local risk minimization
- Local risk-minimization under transaction costs
- On accurate and provably efficient GARCH option pricing algorithms
- Optimal hedging in discrete time
- Option Pricing Under GARCH Processes Using PDE Methods
- Option hedging for semimartingales
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- Option valuation with conditional skewness
- Quadratic hedging schemes for non-Gaussian GARCH models
- Stochastic finance. An introduction in discrete time
- THE GARCH OPTION PRICING MODEL
- Variance-Optimal Hedging in Discrete Time
- Volatility components, affine restrictions, and nonnormal innovations
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