Hedging of time discrete auto-regressive stochastic volatility options
Year of publication: |
December 2016
|
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Authors: | Badescu, Alexandru ; Castillo, Joan del ; Ortega, Juan-Pablo |
Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 271-306
|
Subject: | Stochastic Volatility Models | ARSV Models | Hedging Techniques | Incomplete Markets | Local Risk Minimization | Kalman Filter | Hierarchical-Likelihood | Hedging | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Unvollkommener Markt | Incomplete market | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Black-Scholes-Modell | Black-Scholes model |
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