difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. …We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working …

comparison of three measures of hedge effectiveness in the context of hedging market risk using the Australian All Ordinaries …

futures market return using ordinary least squares. To accommodate time-varying volatility in asset returns, estimators based … alternative to the standard approach to the estimation of the OHR that is robust to the leptokurtosis of returns. We use the … robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate …

increasing in the volatility of demand they face, decreasing in the air premium they must pay, and increasing in the … firms with a real option to smooth demand volatility on international markets, and we provide simple calculations of that …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …

volatility dynamics and resulting factor hedging of barrier options. … resultierende Faktor-Hedging von Barrier Optionen gerichtet. …