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Lattice-based hedging schemes under GARCH models
Quantitative Finance ( IF 1.3 ) Pub Date : 2021-02-12 , DOI: 10.1080/14697688.2020.1865559 Maciej Augustyniak 1, 2 , Alexandru Badescu 3 , Zhiyu Guo 4
中文翻译：
GARCH模型下基于格的对冲方案
更新日期：2021-04-09
Quantitative Finance ( IF 1.3 ) Pub Date : 2021-02-12 , DOI: 10.1080/14697688.2020.1865559 Maciej Augustyniak 1, 2 , Alexandru Badescu 3 , Zhiyu Guo 4
Affiliation
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
中文翻译：
GARCH模型下基于格的对冲方案
当资产回报过程遵循由高斯创新驱动的非对称非仿射GARCH模型时，对欧式期权实施二次对冲方案的有效方法
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