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Hongkai Cao

Stevens Institute of Technology - School of Business

Hoboken, NJ 07030

United States

  • Stevens Institute of Technology - School of Business

SCHOLARLY PAPERS

3

DOWNLOADS

658

TOTAL CITATIONS

13

Scholarly Papers (3)

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1.

Discrete-time Variance-optimal Deep Hedging in Affine GARCH Models

Downloads 262 (295,303)

Discrete-time Variance-optimal Deep Hedging in Affine GARCH Models

Number of pages: 35 Posted: 29 Aug 2020
Hongkai Cao, Zhenyu Cui and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Sun Yat-sen University (SYSU)
Downloads 194 (393,794)

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Finance; Affine GARCH models; Variance-optimal hedge; Deep learning; Transaction costs, Target volatility options

Discrete-Time Variance-Optimal Deep Hedging in Affine GARCH Models

Number of pages: 41 Posted: 18 Oct 2022
Hongkai Cao, Zhenyu Cui, Yanchu Liu and Ying Yu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Sun Yat-sen University (SYSU) and affiliation not provided to SSRN
Downloads 68 (921,129)

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Affine GARCH models, Variance-optimal hedge, deep learning, Transaction costs, Target volatility options.

2.

Valuation of VIX and Target Volatility Options with Affine GARCH Models

Number of pages: 45 Posted: 13 Aug 2020
Hongkai Cao, Alexandru Badescu, Zhenyu Cui and Sarath Kumar Jayaraman
Stevens Institute of Technology - School of Business, University of Calgary, Stevens Institute of Technology - School of Business and University of Calgary - Department of Mathematics and Statistics
Downloads 209 (366,366)
Citation 12

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VIX Options, Target Volatility Options, Heston-Nandi GARCH Model, Inverse Gaussian Model, Joint Calibration

3.

Options Valuation and Calibration for Leveraged Exchange-Traded Funds with Heston-Nandi and Inverse Gaussian GARCH Models

Number of pages: 31 Posted: 02 Jan 2019
Hongkai Cao, Rupak Chatterjee and Zhenyu Cui
Stevens Institute of Technology - School of Business, Department of Physics and Stevens Institute of Technology - School of Business
Downloads 187 (413,774)
Citation 1

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GARCH Model, LETF Options, Heston Nandi, Inverse Gaussian, Calibration