A generalized approach to optimal hedging with option contracts
Year of publication: |
2015
|
---|---|
Authors: | Bajo, Emanuele ; Barbi, Massimiliano ; Romagnoli, Silvia |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 7/9, p. 714-733
|
Subject: | optimal hedge ratio | option hedging | spectral risk measures | copula function | Hedging | Optionspreistheorie | Option pricing theory | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection |
-
Option pricing and hedging with execution costs and market impact
Guéant, Olivier, (2017)
-
Hedging Dependence Risk with Spread Options via the Power Frank and Power Student t Copulas
Tavin, Bertrand, (2014)
-
Optimal hedging strategy with futures oil markets via FIEGARCH copula model
Ifa, Dhoifli, (2015)
- More ...
-
Optimal corporate hedging using options with basis and production risk
Bajo, Emanuele, (2014)
-
Optimal corporate hedging using options with basis and production risk
Bajo, Emanuele, (2014)
-
Optimal Corporate Hedging Using Options with Basis and Production Risk
Bajo, Emanuele, (2015)
- More ...