A profitable modification to global quadratic hedging

DOI10.1016/J.JEDC.2019.05.008zbMath1418.91500OpenAlexW2893396597MaRDI QIDQ2002668

Clarence Simard, Frédéric Godin, Maciej Augustyniak

Publication date: 12 July 2019

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

Full work available at URL: https://spectrum.library.concordia.ca/985442/1/A-profitable-modification-to-global-quad_2019_Journal-of-Economic-Dynamics-a.pdf

zbMATH Keywords

risk managementvariance-optimal hedgingmean-variance hedgingLEAPSglobal risk-minimization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Quadratic hedging schemes for non-Gaussian GARCH models
• Optimal hedging when the underlying asset follows a regime-switching Markov process
• GARCH options via local risk minimization
• Volatility Components, Affine Restrictions, and Nonnormal Innovations
• THE GARCH OPTION PRICING MODEL
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Dynamic programming and mean‐variance hedging in discrete time
• Variance-Optimal Hedging in Discrete Time
• Optimal hedging in discrete time
• Option pricing when underlying stock returns are discontinuous

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