Similar Search Results - EconBiz

Hedging time-varying downside risk

Lien, Da-hsiang Donald - In: The journal of futures markets 18 (1998) 6, pp. 705-722

Persistent link: https://www.econbiz.de/10001249191

Optionsbewertung und Risikomessung mit impliziten Binomialbäumen

Neumann, Marco - 1999

Persistent link: https://www.econbiz.de/10001374429

Tail risk aversion and backwardation of index futures

Liang, Jufang; Yang, Dan; Han, Qian - In: Quantitative finance 24 (2024) 3/4, pp. 387-407

Persistent link: https://www.econbiz.de/10014552026

Risk Arbitrage Opportunities for Stock Index Options

Post, Thierry - 2019

developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …

Persistent link: https://www.econbiz.de/10012899380

Risikomanagement in der der Indexarbitrage : Verfahrensweisen zur Kontrolle und Limitierung von Handelsrisiken bei der Indexarbitrage diskutiert auf der Basis eines mathematischen...

Volz, Martin C. - 1995

Persistent link: https://www.econbiz.de/10014022131

International transmission of uncertainty implicit in stock index option prices

Nikkinen, Jussi; Sahlström, Petri - In: Global finance journal 15 (2004) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10002125844

Stochastic dominance relationships between stock and stock index futures markets : international evidence

Qiao, Zhuo; Wong, Wing Keung; Fung, Joseph K. W. - In: Economic modelling 33 (2013), pp. 552-559

Persistent link: https://www.econbiz.de/10010193326

The impact of financial derivatives on financial market stability : evidence from DAX stock index futures trading using GARCH

Matanovic, Eva - 2010

Persistent link: https://www.econbiz.de/10008936038

Uncovering the distribution of option implied risk aversion

Kyriacou, Maria; Olmo, Jose; Strittmatter, Marius - In: Journal of mathematical finance 9 (2019) 2, pp. 81-104

Persistent link: https://www.econbiz.de/10012116675

On the nature of (jump) skewness risk premia

Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174

Persistent link: https://www.econbiz.de/10014513916

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