Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model

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Year of publication:	2012
Authors:	Zarov, Iliyan Radev
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Hedging \| Volatilität \| Volatility \| Derivat \| Derivative \| Optionsgeschäft \| Option trading \| Portfolio-Management \| Portfolio selection \| Optionspreistheorie \| Option pricing theory \| Risiko \| Risk

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Extent:	1 Online-Ressource (63 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2011 erstellt
Other identifiers:	10.2139/ssrn.1949022 [DOI]
Classification:	C00 - Mathematical and Quantitative Methods. General ; G00 - Financial Economics. General ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013113731