Showing 1 - 7 of 7
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10005858246
Persistent link: https://www.econbiz.de/10003769897
We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging strategies are derived under the assumption that the dynamics of crude-oil futures are described by a Merton-type jump-diffusion. These are then tested empirically using...
Persistent link: https://www.econbiz.de/10013125115
Persistent link: https://www.econbiz.de/10012661294
Persistent link: https://www.econbiz.de/10011697161
Persistent link: https://www.econbiz.de/10011761182
Persistent link: https://www.econbiz.de/10011761821