VIX derivatives, hedging and vol-of-vol risk
Year of publication: |
2020
|
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Authors: | Kaeck, Andreas ; Seeger, Norman |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 283.2020, 2 (1.6.), p. 767-782
|
Subject: | Hedging performance, | Risk management | Stochastic volatility of volatility | VIX options | Volatilität | Volatility | Hedging | Derivat | Derivative | Risikomanagement | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection |
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