Hedging price changes in the S%P 500 options and futures contracts: the effect of different measures of implied volatility
Year of publication: |
2014
|
---|---|
Authors: | Hilliard, Jitka |
Published in: |
International Journal of Financial Markets and Derivatives. - Inderscience Enterprises Ltd, ISSN 1756-7130. - Vol. 3.2014, 3, p. 241-259
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | delta hedge | delta-gamma hedge | delta-vega hedge | S%P 500 futures options | implied volatility | hedging price changes | hedging performance |
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