Variance swaps valuation under non-affine GARCH models and their diffusion limits
Author:
Affiliation:
1. Department of Mathematics and Statistics, University of Calgary, Calgary, Canada T2N 1N4
2. School of Business, Stevens Institute of Technology, Hoboken, NJ 07030, USA
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1478120
Reference41 articles.
1. Modeling and Forecasting Realized Volatility
2. Assessing the effectiveness of local and global quadratic hedging under GARCH models
3. Quadratic hedging schemes for non-Gaussian GARCH models
4. Non-Gaussian GARCH option pricing models and their diffusion limits
5. A GARCH Option Pricing Model with Filtered Historical Simulation
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