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A remark on static hedging of...
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ARCH model
Optionspreistheorie
14,809
Option pricing theory
14,350
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10,225
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7,301
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hedging
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Stentoft, Lars
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Ubukata, Masato
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Christoffersen, Peter
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The journal of futures markets
38
Energy economics
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Finance research letters
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Journal of banking & finance
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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The European journal of finance
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Cogent economics & finance
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International journal of theoretical and applied finance
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Pacific-Basin finance journal
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SpringerLink / Bücher
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The review of financial studies
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ECONIS (ZBW)
810
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1
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10
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810
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date (oldest first)
1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
On practitioners closed-form GARCH option pricing
Mozumder, Sharif
;
Frijns, Bart
;
Talukdar, Bakhtear
; …
- In:
International review of financial analysis
94
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014543999
Saved in:
6
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
Saved in:
7
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 …
Persistent link: https://www.econbiz.de/10013404075
Saved in:
8
Pricing Asian options in affine Garch models
Lorenzo, Mercuri
- In:
International journal of theoretical and applied finance
14
(
2011
)
2
,
pp. 313-333
Persistent link: https://www.econbiz.de/10008992156
Saved in:
9
American option valuation : implied calibration of GARCH pricing models
Weber, Michael
;
Prokopczuk, Marcel
- In:
The journal of futures markets
31
(
2011
)
10
,
pp. 971-994
Persistent link: https://www.econbiz.de/10009355752
Saved in:
10
Pricing currency options with intra-daily implied volatility
Hoque, Ariful
;
Kalev, Petko S.
- In:
Australasian accounting business and finance journal : AABF
9
(
2014
)
1
,
pp. 43-56
Persistent link: https://www.econbiz.de/10010520230
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