Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options
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KeywordsStochastic Volatility Models; ARSV Models; Hedging Techniques; Incomplete Markets; Local Risk Minimization; Kalman Filter; Hierarchical-Likelihood;
All these keywords.
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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