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

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

Dynamic Hedging Under Jump Diffusion with Transaction Costs

2009 ◽  
Vol 57 (3) ◽  
pp. 541-559 ◽  
Author(s):  
J. S. Kennedy ◽  
P. A. Forsyth ◽  
K. R. Vetzal
Keyword(s):  
Transaction Costs ◽  
Jump Diffusion ◽  
Dynamic Hedging
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