Narrow search
Showing 1 - 10 of 6,064
Cover Image
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
Cover Image
A bivariate lattice model to compute risk measures in life insurance policies
Costabile, Massimo - In: The journal of derivatives : JOD 28 (2021) 3, pp. 123-139
Persistent link: https://www.econbiz.de/10012486033
Cover Image
The incremental information content of innovations in implied idiosyncratic volatility
Moll, Cliff R.; Huffman, Stephen P. - In: Review of financial economics : RFE 30 (2016), pp. 33-44
Persistent link: https://www.econbiz.de/10011579946
Cover Image
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 …
Persistent link: https://www.econbiz.de/10013113731
Cover Image
Participating contingent premium options
Rajae, Aboulaich; Amina, Dchieche - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011697145
Cover Image
Hedging derivatives on two assets with model risk
Matsumoto, Koichi; Shimizu, Keita - In: Asia Pacific financial markets 27 (2020) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10012222377
Cover Image
Mean-variance hedging with model risk
Matsumoto, Koichi - In: International journal of financial engineering 4 (2017) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011807096
Cover Image
Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Cover Image
Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn; Osterrieder, Daniela - In: Journal of financial econometrics 21 (2023) 5, pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758
Cover Image
A verification model to capture option risk and hedging based on a modified underlying beta
Shen, Chuan-He; Liu, Yang - In: The journal of risk model validation 15 (2021) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10014540158