Hedging Options In A Garch Environment PDF Download
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Author | : Robert F. Engle |
Publisher | : |
Total Pages | : 52 |
Release | : 1994 |
Genre | : Hedging (Finance) |
ISBN | : |
Download Hedging Options in a GARCH Environment Book in PDF, ePub and Kindle
This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S & P 500 index volatility. Volatility models are compared by their ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black-Scholes (BS) delta-gamma hedge, while the BS delta-vega hedge is the least effective. The most successful volatility hedge is GARCH components delta-gamma, suggesting that the GARCH components estimate of the term structure of volatility is most accurate. The success of the BS delta-gamma hedge may be due to mispricing in the options market over the sample period.
Author | : Joshua V. Rosenberg |
Publisher | : |
Total Pages | : 36 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Hedging Options in a GARCH Environment Book in PDF, ePub and Kindle
This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of Samp;P 500 index volatility. Volatility models are compared by their ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black-Scholes (BS) delta-gamma hedge, while the BS delta-vega hedge is the least effective. The most successful volatility hedge is GARCH components delta-gamma, suggesting that the GARCH components estimate of the term structure of volatility is most accurate. The success of the BS delta-gamma hedge may be due to mispricing in the options market over the sample period.
Author | : Gustaf E. Hagerud |
Publisher | : |
Total Pages | : 22 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download Discrete Time Hedging of OTC Options in a GARCH Environment Book in PDF, ePub and Kindle
Author | : Nassim Nicholas Taleb |
Publisher | : John Wiley & Sons |
Total Pages | : 536 |
Release | : 1997-01-14 |
Genre | : Business & Economics |
ISBN | : 9780471152804 |
Download Dynamic Hedging Book in PDF, ePub and Kindle
Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Author | : Gerasimos Rassias |
Publisher | : |
Total Pages | : 206 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Optimal Hedging of European Options for GARCH Processes Book in PDF, ePub and Kindle
Author | : Alex Badescu |
Publisher | : |
Total Pages | : 26 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Quadratic Hedging Schemes for Non-Gaussian GARCH Models Book in PDF, ePub and Kindle
We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan's (1995) delta hedge. Since the minimal martingale measure fails to produce a probability measure in this setting, we construct local risk minimization hedging strategies with respect to a pricing kernel. These approaches are investigated in the context of non-Gaussian driven models. Furthermore, we analyze these methods for non-Gaussian GARCH diffusion limit processes and link them to the corresponding discrete time counterparts. A detailed numerical analysis based on S&P 500 European Call options is provided to assess the empirical performance of the proposed schemes. We also test the sensitivity of the hedging strategies with respect to the risk neutral measure used by recomputing some of our results with an exponential affine pricing kernel.
Author | : Joshua Rosenberg |
Publisher | : |
Total Pages | : 292 |
Release | : 1996 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Option Hedging and Valuation Under Stochastic Volatility Book in PDF, ePub and Kindle
Author | : George E. Halkos |
Publisher | : MDPI |
Total Pages | : 274 |
Release | : 2020-05-27 |
Genre | : Technology & Engineering |
ISBN | : 3039288091 |
Download Assessment of Energy–Environment–Economy Interrelations Book in PDF, ePub and Kindle
Energy consumption and economic growth have been of great interest to researchers and policy-makers. Knowing the actual causal relationship between energy and the economy with respect to environmental degradation has important implications for modeling environmental and growth policies. The eleven chapters included herein aim to help researchers, academicians, and especially decision-makers to understand relevant issues and adopt appropriate methods to tackle and solve relevant environmental problems. Various methods from different disciplines are proposed and applied to various environmental and energy issues.
Author | : |
Publisher | : |
Total Pages | : 630 |
Release | : 1995 |
Genre | : Economics |
ISBN | : |
Download Working Paper Series Book in PDF, ePub and Kindle
Author | : Anatoliy Pogorui |
Publisher | : John Wiley & Sons |
Total Pages | : 224 |
Release | : 2021-03-16 |
Genre | : Mathematics |
ISBN | : 1786307065 |
Download Random Motions in Markov and Semi-Markov Random Environments 2 Book in PDF, ePub and Kindle
This book is the second of two volumes on random motions in Markov and semi-Markov random environments. This second volume focuses on high-dimensional random motions. This volume consists of two parts. The first expands many of the results found in Volume 1 to higher dimensions. It presents new results on the random motion of the realistic three-dimensional case, which has so far been barely mentioned in the literature, and deals with the interaction of particles in Markov and semi-Markov media, which has, in contrast, been a topic of intense study. The second part contains applications of Markov and semi-Markov motions in mathematical finance. It includes applications of telegraph processes in modeling stock price dynamics and investigates the pricing of variance, volatility, covariance and correlation swaps with Markov volatility and the same pricing swaps with semi-Markov volatilities.