Price risk management by using dynamic hedging based on advanced Black-Scholes model
Peili Lu, Jiaqi Shen, Liheng Zhao, Haoyang Qin, Xunzhi Liu and Zhongxing Ye
| Year of publication: |
2020
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|---|---|
| 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
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| Subject: | dynamic hedging | inverse replication | Options | volatility analysis | Hedging | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility | Risikomanagement | Risk management | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786320500115 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012602709