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Hedging Barrier Options in GARCH Models with Transaction Costs
Shih Feng Huang
, Chan Yi Tsai
Graduate Institute of Statistics
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Keyphrases
Transaction Costs
100%
Hedging
100%
Barrier Options
100%
Generalized Autoregressive Conditional Heteroskedasticity Model
100%
Simulation Study
25%
Easy-to-implement
25%
First Passage Time
25%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
25%
Hedging Performance
25%
Static Method
25%
Spreading Method
25%
Engineering
Simulation Result
100%
Real Data
100%
Static Method
100%
Mathematics
Conditionals
100%
Barrier Option
100%
Simulation Study
25%
Real Data
25%
First passage time
25%
Computer Science
Barrier Option
100%
Simulation Study
25%