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基于GARCH模型的格点对冲方案

Lattice-based hedging schemes under GARCH models

Quantitative Finance · 2021
被引 4
人大 BABS 3

中文导读

针对非对称非仿射GARCH模型下的欧式期权,提出了一种高效的二次对冲方案实现方法。

Abstract

An efficient way to implement quadratic hedging schemes for European options when the asset return process follows an asymmetric non-affine GARCH model driven by Gaussian innovations

金融经济学计量经济学期权定价波动率建模