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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
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Tackling investment risks using equity options during extreme economic upheavals : Indian evidence
Jose, Babu; Varghese, James - In: Colombo business journal : international journal of … 12 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012807616
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On forecasting Taiwanese stock index option prices : the role of implied volatility index
Wang, Jying-Nan; Liu, Hung-Chun; Chen, Lu-Jui - In: International journal of economics and finance 9 (2017) 9, pp. 133-136
Persistent link: https://www.econbiz.de/10011762731
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GARCH pricing and hedging of VIX options
Liu, Qiang; Jiao, Yuhan; Guo, Shuxin - In: The journal of futures markets 42 (2022) 6, pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
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The impact of option hedging on the spot market volatility
Anderegg, Benjamin; Ulmann, Florian Michael Till; … - In: Journal of international money and finance 124 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013435214
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GARCH Pricing and Hedging of VIX Options
Liu, Qiang; Jiao, Yuhan; Guo, Shuxin - 2022
We are the first to study the pricing and hedging of VIX options via Monte Carlo (MC) under GARCH(1,1) and Glosten … the so‐called single‐option hedge error, a better measure than that of Bakshi-Cao-Chen, and suggest several techniques to …
Persistent link: https://www.econbiz.de/10013404075
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Volatility concepts and risk management tools
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547074
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Improving the option pricing performance of GARCH models in inefficient market
Lahouel, Noureddine; Hellara, Slaheddine - In: Investment management and financial innovations 17 (2020) 2, pp. 14-25
Persistent link: https://www.econbiz.de/10012303053
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Does options improve the information absorption? : evidence from the introduction of weekly index options
Jain, Prachi; Kotha, Kiran Kumar - In: International review of finance : the official journal … 22 (2022) 4, pp. 770-776
Persistent link: https://www.econbiz.de/10013472716