Lattice-based hedging schemes under GARCH models

Maciej Augustyniak, Alexandru Badescu and Zhiyu Guo

Quantitative Finance, 2021, vol. 21, issue 5, 697-710

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

Date: 2021
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DOI: 10.1080/14697688.2020.1865559

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