A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails : On What Matters
Year of publication: |
[2021]
|
---|---|
Authors: | Augustyniak, Maciej ; Badescu, Alexandru ; Bégin, Jean-François |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Hedging | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (46 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 11, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3728995 [DOI] |
Classification: | c58 ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Ledenyov, Dimitri, (2015)
-
Chabi-Yo, Fousseni, (2019)
-
Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution
Choi, Jaehyung, (2015)
- More ...
-
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej, (2023)
-
Long memory in option pricing : A fractional discrete-time approach
Augustyniak, Maciej, (2022)
-
On the measurement of hedging effectiveness for long-term investment guarantees
Augustyniak, Maciej, (2023)
- More ...