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...

This paper introduces a method based on the use of various linear and nonlinear state space models that uses non-synchronous data to extract global stochastic financial trends (GST). These models are specifically constructed to take advantage of the intraday arrival of closing information coming...

In this paper we study a conditional version of the Wang transform in the context of discrete GARCH models and their diffusion limits. Our first contribution shows that the conditional Wang transform and Duan's generalized local risk-neutral valuation relationship based on equilibrium...

Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models introduced by Taylor in the dynamical description of the log-returns of financial assets. The pricing and hedging of contingent products that use these models for their underlying...