On the computation of hedging strategies in affine GARCH models
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DOI: 10.1002/fut.22187
Abstract: This paper discusses the computation of hedging strategies under affine Gaussian GARCH dynamics. The risk-minimization hedging strategy is derived in closed-form and related to minimum variance delta hedging. Several numerical experiments are conducted to investigate… read more here.
Keywords: garch; hedging strategies; strategies affine; computation hedging ... See more keywords