A note on hedging in arch and stochastic volatility option pricing models

Mathematical Finance

Volumn 8, Issue 2, 1998, Pages 153-161

  Garcia, René ^b   Renault, Éric ^a  

^a CREST   (France)

^b NONE

Author keywords

Black Scholes implicit volatility; GARCH option pricing; Hedging; Homogeneity property

Indexed keywords

EID: 0032391106     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00049     Document Type: Article

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