Multiperiod hedging in the presence of stochastic volatility

International Review of Financial Analysis

Volumn 10, Issue 4, 2001, Pages 395-406

  Lien, Donald ^a   Wilson, Bradley K ^b  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^b UNIVERSITY OF ALABAMA AT BIRMINGHAM   (United States)

Author keywords

GARCH; Multiperiod hedging; Stochastic volatility

Indexed keywords

EID: 0035649633     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(01)00060-6     Document Type: Article

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