Duan, Jin-Chuan (contributor); … - 2006
School of Management at the University of Toronto, and he can
be reached at jcduan@rotman.utoronto.ca. Peter Ritchken is at … the Weatherhead School of
Management at Case Western Reserve University and is a research associate of the Federal …
GARCH option models. To our knowledge these hedging tests are the first to be performed
using GARCH pricing models.
Why is …