GARCH Gamma
收藏NBER1995-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w5128
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资源简介：
This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and gamma) using Monte-Carlo simulation. We estimate
提供机构：
美国国家经济研究局
创建时间：
1995-05-01
