Price risk management by using dynamic hedging based on advanced Black-Scholes model
Year of publication: |
2020
|
---|---|
Authors: | Lu, Peili ; Shen, Jiaqi ; Zhao, Liheng ; Qin, Haoyang ; Liu, Xunzhi ; Ye, Zhongxing |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 1, p. 1-14
|
Subject: | dynamic hedging | inverse replication | Options | volatility analysis | Hedging | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection |
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