Hedging Barrier Options in GARCH Models with Transaction Costs

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105811

Title:	Hedging Barrier Options in GARCH Models with Transaction Costs
Authors:	黃士峰;Huang, Shih-Feng;Tsai, Chan-Yi
Contributors:	理學院統計研究所
Keywords:	calendar-spread;first passage time;static hedging;strike-spread
Date:	2015-09-01
Issue Date:	2026-04-23 12:54:34 (UTC+8)
Publisher:	Wiley-Blackwell Publishing Ltd;Blackwell Publishing Ltd
Abstract:	摘要： This study proposes a modified strike‐spread method for hedging barrier options in generalized autoregressive conditional heteroskedasticity (GARCH) models with transaction costs. A simulation study was conducted to investigate the hedging performance of the proposed method in comparison with several well‐known static methods for hedging barrier options. An accurate, easy‐to‐implement and fast scheme for generating the first passage time under the GARCH framework which enhances the accuracy and efficiency of the simulation is also proposed. Simulation results and an empirical study using real data indicate that the proposed approach has a promising performance for hedging barrier options in GARCH models when transaction costs are taken into consideration. 其他題名： Aust. N. Z. J. Stat 出版者： Blackwell Publishing Ltd 出版日期： 2015-09 出處： Australian & New Zealand journal of statistics, 2015-09, Vol.57 (3), p.301-324 資源來源： Wiley Online Library All Journals 版權： 2015 Australian Statistical Publishing Association Inc. Published by Wiley Publishing Asia Pty Ltd. 識別號： ISSN: 1369-1473 識別號： EISSN: 1467-842X 識別號： DOI: 10.1111/anzs.12120
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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