Options delta hedging with no options at all
Year of publication: |
2014
|
---|---|
Authors: | Jabłecki, Juliusz ; Kokoszczyński, Ryszard ; Sakowski, Paweł ; Ślepaczuk, Robert ; Wójcik, Piotr |
Institutions: | Wydział Nauk Ekonomicznych, Uniwersytet Warszawski |
Subject: | options hedging efficiency | optimal hedging frequency | realized and implied volatility | index futures | investment strategies |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014-27 29 pages |
Classification: | G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; G23 - Pension Funds; Other Private Financial Institutions ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C22 - Time-Series Models |
Source: |
-
Does historical VIX term structure contain valuable information for predicting VIX futures?
Jablecki, Juliusz, (2014)
-
Jabłecki, Juliusz, (2014)
-
Jablecki, Juliusz, (2014)
- More ...
-
Jabłecki, Juliusz, (2014)
-
Simple heuristics for pricing VIX options
Jabłecki, Juliusz, (2014)
-
Jabłecki, Juliusz, (2014)
- More ...