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Finance research letters
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1
Robustly
hedging
variable annuities with guarantees under jump and
volatility
risks
Coleman, T. F.
;
Kim, Y.
;
Li, Yuying
;
Patron, M.
- In:
The journal of risk and insurance : the journal of the …
74
(
2007
)
2
,
pp. 347-376
Persistent link: https://www.econbiz.de/10003483852
Saved in:
2
Hedging
European derivatives with the polynomial variance swap under uncertain
volatility
environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
3
Risk value analysis of covered short call and protective put portfolio strategies
Adam, Michael
;
Maurer, Raimond
- In:
Finanzmarkt und Portfolio-Management
13
(
1999
)
4
,
pp. 431-449
Persistent link: https://www.econbiz.de/10001517964
Saved in:
4
Risk Managing Long-Dated Smile Risk with SABR Formula
Moni, Claudio
-
2014
used, in particular for long expiries and in high
volatility
environments. For example, we obtain positive sensitivities to …
Persistent link: https://www.econbiz.de/10013062318
Saved in:
5
Risk value analysis of covered short call and protective put portfolio strategies
Adam, Michael
-
1999
Persistent link: https://www.econbiz.de/10013442977
Saved in:
6
Are real options "real"? : isolating uncertainty from risk in real options analysis
So, Leh-Chyan
- In:
Annals of financial economics
9
(
2014
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010489151
Saved in:
7
Volatility
and the pricing kernel
Schreindorfer, David
;
Sichert, Tobias
-
2022
-
This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
Saved in:
8
FX risk-neutral valuation relationships for the S u jump-diffusion family
Câmara, Ana
;
Câmara, António
;
Popova, Ivilina
; …
- In:
International journal of finance & economics : IJFE
16
(
2011
)
4
,
pp. 339-356
Persistent link: https://www.econbiz.de/10009508891
Saved in:
9
Uncertain
volatility
derivative model based on the polynomial chaos
Drakos, Stefanos
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
Saved in:
10
Option pricing via maximization over uncertainty and correction of
volatility
smile
Dokučaev, Nikolaj G.
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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