Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of Economic Dynamics and Control 42 (2014) C, pp. 13-32
We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan׳s (1995) delta...
