Lattice-based hedging schemes under GARCH models

DOI10.1080/14697688.2020.1865559zbMath1484.91467OpenAlexW3129447669MaRDI QIDQ5014202

Maciej Augustyniak, Zhiyu Guo, Alexandru M. Badescu

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1865559

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

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