An empirical investigation of the Garch option pricing model: hedging performance
Article Abstract:
The exponential GARCH model performs better than the ad hoc Black-Scholes (BS) model both in terms of in-sample valuation and out-of-sample forecasting. However, the superiority is insignificant except in the case of deep-out-of-money put options.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
Models, Currency options, Financial analysis
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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The use of term structure information in the hedging of mortgage-backed securities
Article Abstract:
A study of the effect of term structure values on hedging and mortgage -backed securities is presented.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
Management dynamics, Management, Company business management, Mortgage-backed securities, Mortgage backed securities, Time, place, and manner restrictions
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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An examination of the effectiveness of static hedging in the presence of stochastic volatility
Article Abstract:
The author present a model relating hedging to stochastic volatility.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
User Contributions:
Comment about this article or add new information about this topic:
Subjects list: United States, Analysis, Hedging (Finance)
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