Article2017

Assessing the effectiveness of local and global quadratic hedging under GARCH models

Maciej Augustyniak · Frédéric Godin · Clarence Simard

18 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk Management in Financial Firms

Abstract

Groundbreaking work in financial theory due in great part to Fischer Black, Robert Merton and Myron Scholes showed that it is theoretically possible to completely hedge away the risk of any derivat...

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1995THE GARCH OPTION PRICING MODEL 2004A New Approach to Markov-Switching GARCH Models 2010A Guided Tour through Quadratic Hedging Approaches 1991Option hedging for semimartingales 1995Variance-Optimal Hedging in Discrete Time

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2020A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters

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