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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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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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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
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Volatility Index
Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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Time-discrete hedging of down-and-out puts with overnight trading gaps
Baule, Rainer; Rosenthal, Philip - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-20
stochastic volatility and jumps are present. …
Persistent link: https://www.econbiz.de/10012813892
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Option pricing and hedging with execution costs and market impact
Guéant, Olivier; Pu, Jiang - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
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Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
volatility jump diffusion model …
Persistent link: https://www.econbiz.de/10013113731
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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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Option Momentum
Heston, Steven L.; Li, Shuaiqi - 2021
This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...
Persistent link: https://www.econbiz.de/10013249009