asymmetric GARCH volatility and the nonparametric innovation distribution induce the accurate pricing performance of our model … theory and corroborating our GARCH pricing model. Implied volatility smiles appear to be explained by asymmetric volatility …

This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By … parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and …