Narrow search
Showing 1 - 10 of 5,093
Cover Image
Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
Cover Image
The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
Cover Image
Optimal option portfolio hedging strategy with non-Gaussian fluctuations
Hamdi, Haykel; Majdoub, Jihed - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 27-42
Persistent link: https://www.econbiz.de/10012176729
Cover Image
Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns
Kale, Jivendra K.; Lim, Tee - In: International journal of financial engineering 6 (2019) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012028870
Cover Image
Strategy vs risk in margining portfolios of options
Coffman, Edward G.; Matsypura, D.; Timkovsky, V. G. - In: 4OR : a quarterly journal of operations research 8 (2010) 4, pp. 375-386
Persistent link: https://www.econbiz.de/10008778748
Cover Image
Option portfolio risk incentives for CEOs
Brookman, Jeffrey - In: The southern business & economic journal 32 (2009) 3/4, pp. 35-55
Persistent link: https://www.econbiz.de/10009378886
Cover Image
Volatility risk premium decomposition of LIFFE equity options
Lin, Bing-huei; Lin, Yueh-neng; Chen, Yin-jung - In: International review of economics & finance : IREF 24 (2012), pp. 315-326
Persistent link: https://www.econbiz.de/10009690153
Cover Image
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
Cover Image
Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
Cover Image
Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model
Persistent link: https://www.econbiz.de/10013113731