Adelaide Research & Scholarship
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https://hdl.handle.net/2440/93904
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| Type: | Journal article |
| Title: | Quadratic hedging schemes for non-Gaussian GARCH models |
| Author: | Badescu, A. Elliott, R. Ortega, J. |
| Citation: | Journal of Economic Dynamics and Control, 2014; 42(May 2014):13-32 |
| Publisher: | Elsevier |
| Issue Date: | 2014 |
| ISSN: | 0165-1889 1879-1743 |
| Statement of Responsibility: | Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega |
| Abstract: | Abstract not available |
| Keywords: | GARCH models; local risk minimization; martingale measure; bivariate diffusion limit; minimum variance hedge |
| Rights: | © 2014 Elsevier B.V. All rights reserved. |
| DOI: | 10.1016/j.jedc.2014.03.001 |
| Published version: | http://dx.doi.org/10.1016/j.jedc.2014.03.001 |
| Appears in Collections: | Aurora harvest 2 Mathematical Sciences publications |
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