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Search: subject:"Local risk-minimization"
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Volatility
Option pricing theory
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local risk minimization
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ECONIS (ZBW)
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1
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
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2
Local
risk-minimization
for Barndorff-Nielsen and Shephard models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 551-592
Persistent link: https://www.econbiz.de/10011944406
Saved in:
3
Hedging of time discrete auto-regressive stochastic volatility options
Badescu, Alexandru
;
Castillo, Joan del
;
Ortega, Juan-Pablo
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 271-306
Persistent link: https://www.econbiz.de/10011592752
Saved in:
4
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of economic dynamics & control
42
(
2014
),
pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
Saved in:
5
Pricing and hedging in stochastic volatility regime switching models
Goutte, Stéphane
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 70-80
Persistent link: https://www.econbiz.de/10010240223
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