Assessing the effectiveness of local and global quadratic hedging under GARCH models
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DOI: 10.1080/14697688.2017.1279342
Abstract: Local and global quadratic hedging are alternatives to delta hedging that more appropriately address the hedging problem in incomplete markets. The objective of this article is to investigate and contrast the effectiveness of these strategies… read more here.
Keywords: assessing effectiveness; global quadratic; quadratic hedging; hedging ... See more keywords