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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

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

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

Delta hedging and volatility-price elasticity : a two-step approach

Xia, Kun; Yang, Xuewei; Zhu, Peng - In: Journal of banking & finance 153 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014490307

Warren Buffett versus Zvi Bodie : should you buy or sell put options?

Koekebakker, Steen; Zakamulin, Valeriy - In: The journal of wealth management : JWM 24 (2021) 2, pp. 65-81

Persistent link: https://www.econbiz.de/10012613516

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