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Hedging surprises, jumps, and model misspecification : a risk management perspective on hedging S&P 500 options
Kaeck, Andreas - In: Review of finance : journal of the European Finance … 17 (2013) 4, pp. 1535-1569
Persistent link: https://www.econbiz.de/10009776228
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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The risks and rewards of selling volatility
Nandi, Saikat; Waggoner, Daniel - In: Economic review 86 (2001) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001581207
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Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
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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
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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
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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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Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
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VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782
Persistent link: https://www.econbiz.de/10012294919