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Lattice-based hedging schemes under GARCH models

Augustyniak, M; Badescu, A; Guo, ZY

Guo, ZY (corresponding author), Nankai Univ, Business Sch, Dept Financial Management, Tianjin 300071, Peoples R China.

QUANTITATIVE FINANCE, 2021; 21 (5): 697

Abstract

An efficient way to implement quadratic hedging schemes for European options when the asset return process follows an asymmetric non-affine GARCH mode......

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