Quadratic hedging schemes for non-Gaussian GARCH models

DOI10.1016/j.jedc.2014.03.001zbMath1402.91751arXiv1209.5976OpenAlexW3121943118MaRDI QIDQ1994523

Robert J. Elliott, Juan-Pablo Ortega, Alexandru M. Badescu

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.5976

zbMATH Keywords

martingale measureGARCH modelslocal risk minimizationbivariate diffusion limitminimum variance hedge

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 (6)

A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ It only takes a few moments to hedge options ⋮ A profitable modification to global quadratic hedging ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ The continuous limit of weak GARCH ⋮ Lattice-based hedging schemes under GARCH models

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