Work

Assessing the effectiveness of local and global quadratic hedging under GARCH models

Year: 2017

Type: article

Abstract: Groundbreaking work in financial theory due in great part to Fischer Black, Robert Merton and Myron Scholes showed that it is theoretically possible to completely hedge away the risk of any derivat...

Source: Quantitative Finance

DOI: 10.1080/14697688.2017.1279342

Authors: Maciej Augustyniak, Frédéric Godin, Clarence Simard

Institutions: Centre de recherches mathématiques, Université de Montréal, Université Laval, Concordia University, Université du Québec à Montréal

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Natural Sciences and Engineering Research Council of Canada, Fonds de recherche du Québec – Nature et technologies

OpenAlex ID: W3121337401

FWCI: 2.273

Cites: 42

Cited by: 19

Related to: 10