Lattice-based hedging schemes under GARCH models
Year of publication: |
2021
|
---|---|
Authors: | Augustyniak, Maciej ; Badescu, Alexandru ; Guo, Zhiyu |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 5, p. 697-710
|
Subject: | Theorie | Theory | ARCH-Modell | ARCH model | Hedging |
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