A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
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- René Garcia & Èric Renault, 1998. "A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 153-161.
References listed on IDEAS
- Marcel Boyer, 1997. "Competition and Access in Telecoms: ECPR, Global Price Cap, and Auctions," CIRANO Working Papers 97s-03, CIRANO.
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- GARCIA, René & RENAULT, Éric, 1998.
"Risk Aversion, Intertemporal Substitution, and Option Pricing,"
Cahiers de recherche
9801, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- René Garcia & Éric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO.
- René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Center for Research in Economics and Statistics.
- Bruno R'emillard & Sylvain Rubenthaler, 2012. "Optimal hedging in discrete time," Papers 1211.5035, arXiv.org.
- Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
- Bauwens, Luc & Lubrano, Michel, 2002.
"Bayesian option pricing using asymmetric GARCH models,"
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- BAUWENS , Luc & LUBRANO, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," CORE Discussion Papers RP 1569, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
- Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
- Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Paper 0619, Federal Reserve Bank of Cleveland.
- Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012.
"A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew,"
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Society for Financial Econometrics, vol. 10(3), pages 457-493, June.
- Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
More about this item
KeywordsHedging; GARCH Option Pricing; Homogeneity Property; Black Scholes Implicit Volatility; Valorisation d'options avec modèle GARCH; propriété d'homogénéité; volatilité implicite de Black-Scholes;
- G1 - Financial Economics - - General Financial Markets
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