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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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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
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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
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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
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On nonparametric predictive inference for asset and European option trading in the binomial tree model
Chen, Junbin; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1678-1691
Persistent link: https://www.econbiz.de/10012214367
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Efficient option risk measurement with reduced model risk
Mitra, Sovan - In: Insurance / Mathematics & economics 72 (2017), pp. 163-174
Persistent link: https://www.econbiz.de/10011694422
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Option pricing under time-varying risk-aversion with applications to risk forecasting
Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138
Persistent link: https://www.econbiz.de/10011814247
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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
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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
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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