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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
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Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
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On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru - In: Journal of economic dynamics & control 35 (2011) 5, pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
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A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708
Persistent link: https://www.econbiz.de/10009298478