On the directional destabilizing feedback effects of option hedging
Year of publication: |
[2022]
|
---|---|
Authors: | Sornette, Didier ; Ulmann, Florian Michael Till ; Wehrli, Alexander |
Publisher: |
Geneva : Swiss Finance Institute |
Subject: | option hedging | frictions | feedback effects | instability | drift burst | Hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
Extent: | 1 Online-Ressource (circa 37 Seiten) Illustrationen |
---|---|
Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 22, 34 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.4087222 [DOI] |
Classification: | G12 - Asset Pricing ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
The impact of option hedging on the spot market volatility
Anderegg, Benjamin, (2022)
-
Is barrier version of merton model more realistic? : evidence from Europe
Andrlíková, Petra, (2014)
-
A Universal Model for Pricing All Options
Gershon, David, (2017)
- More ...
-
Quantification of feedback effects in FX options markets
Anderegg, Benjamin, (2019)
-
Dynamical internal cost of capital driven by cash flow growth
Solo, David, (2021)
-
Price dynamics with circuit breakers
Lera, Sandro C., (2020)
- More ...