Improving futures hedging performance using option information : evidence from the S&P 500 index
Year of publication: |
2019
|
---|---|
Authors: | Bai, Yujuan ; Pan, Zhiyuan ; Liu, Li |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 28.2019, p. 112-117
|
Subject: | Volatility | Hedge ratio | Hedging performance | Option-implied information | Hedging | Volatilität | Schätzung | Estimation | Index-Futures | Index futures | Derivat | Derivative |
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