Optimal option portfolio hedging strategy with non-Gaussian fluctuations
Year of publication: |
2020
|
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Authors: | Hamdi, Haykel ; Majdoub, Jihed |
Published in: |
International journal of entrepreneurship and small business : IJESB. - Genève : Inderscience Enterprises, ISSN 1741-8054, ZDB-ID 2193755-2. - Vol. 39.2020, 1/2, p. 27-42
|
Subject: | risk aversion | utility functions | options on the CAC 40 index | delta hedging | hedging strategy optimal extreme risk | Experiment | Hedging | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Risiko | Risk | Nutzenfunktion | Utility function | Volatilität | Volatility |
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