GARCH options via local risk minimization
Work
Year: 2010
Type: article
Abstract: We apply a quadratic hedging scheme developed by Föllmer, Schweizer, and Sondermann to European contingent products whose underlying asset is modeled using a GARCH process and show that local risk-mi... more
Source: Quantitative Finance
Author Juan‐Pablo Ortega
Cites: 33
Cited by: 18
Related to: 10
FWCI: 0.818
Citation percentile (by year/subfield): 86
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: green