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~institution:"Fachbereich Wirtschaftswissenschaft, Goethe Universität Frankfurt am Main"
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Discretization Error
1
Model Mis-Specification
1
Stochastic Volatility
1
Stochastic jumps
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Stochastic volatility
1
Volatility Risk Premium
1
discrete trading
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hedging error
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incomplete markets
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market prices of risk
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model mis-specification
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model misspecification
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robust hedging
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superhedging
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tractable hedging
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Branger, Nicole
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Schlag, Christian
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Mahayni, Antje
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Fachbereich Wirtschaftswissenschaft, Goethe Universität Frankfurt am Main
National Bureau of Economic Research
63
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
14
C.E.P.R. Discussion Papers
7
Springer International Publishing
7
University of Canterbury / Dept. of Economics and Finance
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Tinbergen Institute
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Barcelona Graduate School of Economics (Barcelona GSE)
5
School of Economics and Management, University of Aarhus
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Social Systems Research Institute
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Tinbergen Instituut
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University of Bonn, Germany
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Cowles Foundation for Research in Economics, Yale University
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Department of Economics and Business, Universitat Pompeu Fabra
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EconWPA
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School of Economics, Singapore Management University
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Bank of England
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Center for Economic Research <Tilburg>
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Centralʹnyj Ėkonomiko-Matematičeskij Institut <Moskau>
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Departamento de Economía, Universidad de San Andrés
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Department of Economics, Oxford University
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Department of Economics, University of Victoria
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Edward Elgar Publishing
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Ekonomiska forskningsinstitutet <Stockholm>
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Erasmus University Rotterdam, Econometric Institute
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Escola de Pós-Graduação em Economia <Rio de Janeiro>
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European Central Bank
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Forschungsinstitut zur Zukunft der Arbeit
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School of Economics, UNSW Business School
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Society for Computational Economics - SCE
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Springer Fachmedien Wiesbaden
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Belorusskij Gosudarstvennyj Ekonomičeskij Universitet <Minsk>
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Belorusskij gosudarstvennyj universitet
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Bonn Graduate School of Economics
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole
;
Schlag, Christian
-
Fachbereich Wirtschaftswissenschaft, Goethe …
-
2008
models. We show, however, that the problems of discrete trading and model
mis-specification
, which are necessarily present in …
Persistent link: https://www.econbiz.de/10005102178
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2
Tractable Hedging - An Implementation of Robust Hedging Strategies
Branger, Nicole
;
Mahayni, Antje
-
Fachbereich Wirtschaftswissenschaft, Goethe …
-
2006
the exact specification of the volatility process and therefore mitigates problems caused by model
misspecification
. A …
Persistent link: https://www.econbiz.de/10005112800
Saved in:
3
Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
Branger, Nicole
;
Schlag, Christian
-
Fachbereich Wirtschaftswissenschaft, Goethe …
-
2004
form solutions for the expected option hedging error under discrete trading and model
mis-specification
. Compared to the …
Persistent link: https://www.econbiz.de/10005057037
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