000			01992cam a22003137 4500
001			w5128
003			NBER
005			20211020114250.0
006			m o d
007			cr cnu||||||||
008			210910s1995 mau fo 000 0 eng d
100	1		_aEngle, Robert F. _99921
245	1	0	_aGARCH Gamma / _cRobert F. Engle, Joshua V. Rosenberg.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c1995.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w5128
500			_aMay 1995.
520	3		_aThis 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.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
700	1		_aRosenberg, Joshua V. _919746
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w5128.
856	4	0	_uhttps://www.nber.org/papers/w5128
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w5128
942			_2ddc _cW-PAPER
999			_c343235 _d301797