A discrete-time hedging framework with multiple factors and fat tails : on what matters
Year of publication: |
2023
|
---|---|
Authors: | Augustyniak, Maciej ; Badescu, Alexandru ; Bégin, Jean-François |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 416-444
|
Subject: | Option hedging | Risk-minimization | Affine models | Multi-component volatility | Exponential-affine pricing kernels | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | CAPM | Statistische Verteilung | Statistical distribution |
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