Hedging Barrier Options in GARCH Models with Transaction Costs

DOI10.1111/anzs.12120zbMath1335.91115OpenAlexW2140872964MaRDI QIDQ2802880

Chan-Yi Tsai, Shih-Feng Huang

Publication date: 27 April 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12120

zbMATH Keywords

first passage timestatic hedgingcalendar-spreadstrike-spread

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
• Empirical performance of models for barrier option valuation
• American option pricing under GARCH by a Markov chain approximation

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