"Optimal dynamic hedging via copula-threshold-GARCH models."

YiHao Lai, Cathy W. S. Chen, Richard Gerlach (2009)

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DOI: 10.1016/J.MATCOM.2008.12.010

access: closed

type: Journal Article

metadata version: 2020-03-04

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YiHao Lai, Cathy W. S. Chen, Richard Gerlach:
Optimal dynamic hedging via copula-threshold-GARCH models. Math. Comput. Simul. 79(8): 2609-2624 (2009)

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