Exploring option pricing and hedging via volatility asymmetry
Year of publication: |
2021
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Authors: | Casas, Isabel ; Veiga, Helena |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 57.2021, 4, p. 1015-1039
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Subject: | Delta hedging | Option | Stochastic volatility | Volatility asymmetry | Volatilität | Volatility | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Experiment | Derivat | Derivative | ARCH-Modell | ARCH model | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
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