Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

2009 ◽  
Author(s):  
YiHao Lai ◽  
Cathy W. S. Chen ◽  
Richard H. Gerlach
Keyword(s):  
Garch Models ◽  
Dynamic Hedging ◽  
Optimal Dynamic

Optimal dynamic hedging via copula-threshold-GARCH models

2009 ◽  
Vol 79 (8) ◽  
pp. 2609-2624 ◽  
Author(s):  
YiHao Lai ◽  
Cathy W.S. Chen ◽  
Richard Gerlach
Keyword(s):  
Garch Models ◽  
Dynamic Hedging ◽  
Optimal Dynamic

Optimal Dynamic Hedging in Unbiased Futures Markets

1996 ◽  
Vol 78 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Robert J. Myers ◽  
Steven D. Hanson
Keyword(s):  
Futures Markets ◽  
Dynamic Hedging ◽  
Optimal Dynamic

Optimal Dynamic Hedging of Multi-Asset Options

2009 ◽  
Author(s):  
Andrea Petrelli ◽  
Ram Balachandran ◽  
Jun Zhang ◽  
Olivia Siu ◽  
Rupak Chatterjee ◽  
...  
Keyword(s):  
Dynamic Hedging ◽  
Optimal Dynamic

Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning

2010 ◽  
Author(s):  
Andrea Petrelli ◽  
Ram Balachandran ◽  
Olivia Siu ◽  
Rupak Chatterjee ◽  
Zhang Jun ◽  
...  
Keyword(s):  
Transaction Costs ◽  
Dynamic Hedging ◽  
Equity Options ◽  
Optimal Dynamic
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