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Assessing the effectiveness of local and global quadratic hedging under GARCH models
16 references·1 citing·37 second hopsampled
Assessing the effectiveness of local and global quadratic hedging under GARCH models (2017)Assessing the effectiveness of local and …Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)Volatility Dynamics for the S…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Volatility Components, Affine Restrictions, and Nonnormal Innovations (2009)Volatility Components, Affine…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Hedging guarantees in variable annuities under both equity and interest rate risks (2006)Hedging guarantees in variabl…A New Approach to Markov-Switching GARCH Models (2004)A New Approach to Markov-Swit…Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Hedging Derivative Securities…A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Option hedging for semimartingales (1991)Option hedging for semimartin…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading (1989)Hedging by Sequential Regress…Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading (1988)Hedging by Sequential Regress…A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters (2020)A Discrete-Time Hedging Frame…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Regime switching models (2010)Forecasting: theory and practice (2022)An Intertemporal Capital Asset Pricing Model (1973)Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006)Brownian Motion and Stochastic Calculus (2007)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Calcul Stochastique et Problèmes de Martingales (1979)Backward Stochastic Differential Equations in Finance (1997)Martingales and arbitrage in multiperiod securities markets (1979)Hedging of contingent claims under incomplete information (1990)072103 (E50, M20) Option pricing by Esscher transforms (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Comparing Predictive Accuracy (1994)Asset Pricing in Production Economies with Extrapolative Expectations (2012)Wage Rigidity: A Quantitative Solution to Several Asset Pricing Puzzles (2015)What can explain the price, volatility and trading volume of Bitcoin? (2018)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)5 Stochastic volatility (1996)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2004A New Approach to Markov-Switching GARCH Models599 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1991Option hedging for semimartingales379 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 2010Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices312 cited
  • 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited
  • 2007On the structure of general mean-variance hedging strategies142 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
  • 1989Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading105 cited
  • 2009Volatility Components, Affine Restrictions, and Nonnormal Innovations91 cited
  • 1988Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading

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87 cited
  • 2006Hedging guarantees in variable annuities under both equity and interest rate risks84 cited
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    • 2020A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters17 cited