| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5128 |
| 来源ID | Working Paper 5128 |
| GARCH Gamma | |
| Robert F. Engle; Joshua V. Rosenberg | |
| 发表日期 | 1995-05-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and gamma) using Monte-Carlo simulation. We estimate hedging parameters for options on the Standard and Poor's 500 index, a bond futures index, a weighted foreign exchange rate index, and an oil futures index. We find that Black-Scholes and GARCH deltas are similar for all the options considered, while GARCH gammas are significantly higher than BS gammas for all options. For near the money options, GARCH gamma hedge ratios are higher than BS hedge ratios when hedging a long term option with a short term option. Away from the money, GARCH gamma hedge ratios are lower than BS. |
| URL | https://www.nber.org/papers/w5128 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562564 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Joshua V. Rosenberg. GARCH Gamma. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5128.pdf（467KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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