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The performance of model based option trading strategies
Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009729949
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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios
Bueno-Guerrero, Alberto - 2017
We apply the Malliavin calculus to the stochastic string framework and obtain a Clark-Ocone-like formula. This result allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We illustrate this new result with two applications. Firstly,...
Persistent link: https://www.econbiz.de/10012960764
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Merton's portfolio problem under Volterra Heston model
Han, Bingyan; Wong, Hoi Ying - In: Finance research letters 39 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012805194
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Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
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The VIX and future information
Hess, Markus - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
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Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
Maier, Sebastian; Pflug, Georg; Polak, John W. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 133-147
Persistent link: https://www.econbiz.de/10012239492
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Effect of variance swap in hedging volatility risk
Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …
Persistent link: https://www.econbiz.de/10012293125
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Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
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Option portfolio management in a risk-neutral world
Golembiovsky, Dmitry Jurievich; Abramov, Anatoly Markovich - In: Journal of mathematical finance 8 (2018) 4, pp. 710-733
Persistent link: https://www.econbiz.de/10012016559